If you are facing the Proxy error while using the Teamviewer application, any of your Firewall or antivirus applications blocking the Teamviewer port access. As per the officials from the Teamviewer community, the default port that the Teamviewer uses is 5938. So, make sure that your firewall has no restrictions set on this port and it is available to use by the software.
In most of the cases, just doing this will solve the issue. However, in some situations, even if everything configured perfectly, the Proxy error can still happen. In such scenarios, I recommend you to wait for some time then try again.