Let me start by saying that Proxy might be the most batshit insane narrative I have ever seen. If you think you know where this movie is going, I promise you do not. You may guess the next twist, but the three after that will leave you dumbfounded.
Now, I don't want to overstate things. This movie is middling, at best. The acting and directing is all very suitable and workmanlike. This will never be a cult classic or anything. It is fascinating to watch once to see how the story unfolds. The cold open is a pregnant woman walking home from a check up and being attacked by a faceless goon who eats her pregnant belly with a brick until it is discolored and warped. She begins going to a group for people who have lost their children where she befriends another woman. To say anything more would be to give away too much. The beats in this movie come out of nowhere and leave you guessing. It is brutal to watch at times (although that opening violence is the worst, I think). The whole thing ends up feeling kind of Lifetime movie of the week but with lesbian rape and torture fantasies.
I can't really recommend this movie but I can say you won't see another one quite like it if you do chose to watch it.