This is normal for various reasons. Also, proxies are not automatically recreated when missing. You can load the project, turn off proxy mode, turn it back on, and choose yes to make missing proxies. However, that is broken in your version along with many other things. Your version is one of the most buggy ones and you should upgrade to Shotcut - New Version 21.06.29
For your complicated use case, you can also simply turn off the proxy mode while using this project.