I was running into the same issue and managed to get the project to remember the proxies. Here’s how:
1. When opening up the project, you’ll get the window alerting you of offline proxy files. Cancel out of this window
2. Head to your footage and right-click and select “Attach Proxies”
3. Attach the proxies manually
4. Save
So the issue appears that the prompt asking to relink does not actually retain the new directory. But if you manually attach them via “Attach proxies” from the contextual right-click menu in the Project window, it does retain the new directory.