Shotcut still not supporting CRM files for proxies.
Shotcut uses FFmpeg for media decoding. Canon CRM is not fully supported by FFmpeg, meaning Shotcut can’t use it either.
Here is a discussion with the FFmpeg development team on CRM support back in 2017 (check previous messages in the chain for more context):
Since CRM is a raw format that hasn’t been de-Bayered (demosaiced) yet, using it in Shotcut would probably be unsatisfactory. Shotcut currently has only an 8-bit pipeline, which will not provide enough bit depth to color grade raw footage without massive banding.
Better results could be achieved by transcoding the raw footage to an intermediate format like ProRes or DNxHR, and applying a Rec.709 LUT in the process, so color grading in Shotcut doesn’t have to stretch colors as far. This is probably not the ideal workflow you hoped for, of course. I’m just providing options to work within the limitations.