IgorB: I forgot to mention that the bug described below is also fixed in the latest test builds.  The created nested clips will now  be saved in $HOME/Videos but you can change that in Settings->Preferences, Interface tab, "Nested Proxy Path".  The old methodology of placing the nested files in the cinelerra directory (folder) was an unintended accident and leads to it being easily deleted every month when downloading a new build.  As expected, fixing this bug means you should now be able to save a project while proxied!

Proxies are created in Cinelerra folder (where there is "cin" file)

This is a BUG ! (by Cinelerra folder, this means the Linux O/S cinelerra directory where the binary file is).  It should be in the same directory as the original media and not here because it will not get easily deleted.

Before saving your project, pay attention to disable Proxy feature.
You MUST SAVE your PROJECT with PROXY DISABLED otherwise you lose the
link to the clips (more or less).

I just bet that this is related to the above BUG and I have informed gg and when the bug is fixed will check to see if this solves this problem also.  Losing link to the clips is only referring to nested clips, not regular clips as far as I can tell.