Been having this same problem with the latest version of Premiere (13.0.2) with Premiere wanting to re-link proxies that I had pre-made outside of premiere every time I loaded the project.
This may or may not be helpful but I realised that Premiere by default wants to look in the same location as your project file on boot up for all proxy files. I’m guessing this is because by default that’s where it would create them if set to do so on ingest.
So I just moved my proxy folder into the same folder as my project and now it locates them automatically on loading. It’s not the perfect solution but has saved me some annoyance.
As an experiment I did try enabling ingest options in project settings and changing the location for proxy creation to the folder where my files had originally been. However, this didn’t seem to work, almost as though Premiere has decided that there’s only one place it will look.
Obviously my proxies weren’t created “in project” so if you are having the same issue with proxies created via ingest in Premiere it may be that you need to put the proxy footage in the location you originally stipulated in the ingest settings to avoid this bug (I haven’t tested this however, just a hunch!)
Hope this helps at least one person!