If I understand this correctly, this is how I would expect it to work:.

I have imported a bunch of 4K video's and created a proxy out of it. In
that Cinelerra session my memory usage became 9.9GB. When closing the
project and reopening it the totally used memory reduced. What to make of
this?

The first time videos are loaded in CinGG they will be put into memory as much as possible and creating proxies will use even more memory as it is manipulating the frames. The next time you load those videos, you don't have to use as much memory because the work creating them is already complete. Any time something is in memory, it is just going to work better and faster because it does not have to go get stuff off of the slower disks.