Proxies were the historical way in Blender to allow some local editing of linked data-blocks. This was mostly aimed at character animation.
They are now fully deprecated as of Blender 3.0, replaced by the new Library Overrides.
Existing proxies in older blend-files will be converted to library overrides when opening it in Blender 3.0.
It is currently possible to keep existing proxies when opening an older blend-file, by disabling the Proxy to Override Auto Conversion experimental option in the Preferences.
Existing Proxies will still work as expected in Blender 3.0.
Removal of this option and the full proxy code is scheduled for Blender 3.1.