When a frame is exported with Proxy is on it will not source it from the original source files but the proxy files. It’d be good to add a warning dialog when File > Export Frame… is attempted when working with Proxy files to let users know that with a dialog box that says something like:
When Proxy is ON, the exported frame will be taken from the lower resolution Proxy instead of the original source.
Do you want to proceed anyway?
And of course, a choice of “Do not show this anymore” on the bottom.