Now Proxy rendering has been introduced in MEP2014, I've been trying to use it.
In some circumstances - which I believe are those where the proxy file is going to be of equal or higher quality that the source (the manual isn't more specific if this includes bitrate and codec) then Video Pro doesn't make a proxy file. It doesn't give an error message, though, just carries on.
In MEP2014, the message is IMHO, very confusing, mentioning a number of reasons why it hasn't created a proxy, but not the real one - which isn't really an error.
Unless anyone can explain the error of my ways. I'm intending to report this as a minor bug.