There was a bug with adding new ‘complex’ proxy profiles (multiple filename patterns and/or multiple locations) via the UI dialog that was fixed in 24.12.2 - which before that you could workaround by editing the externalproxies file manually.
But this definitely does work with the linux appimage, and so should work on windows, though I can’t offhand tell you what/where the corresponding file is found there - or from this description exactly what it is that you’re missing here.
There was another report of this recently, but its OP never followed up on trying to resolve it, so we don’t know what they were missing either (I have two version(high and low resolution) of a same video. Can I use low resolution video as a proxy clip for the high resolution one?)
Have you filled in all the fields in the edit dialog? It needs to know the relative paths from clip to proxy and vice versa even if they are in the same dir.