Just to add to this: The issue is that when you attach proxies, there is no way to undo the attach and tell Premiere not to look for proxies. So if your proxies get deleted then Premiere will keep asking you to re-attach them every time you open the project. This issue is compounded by a bug whereby even if you "Offline all" and save the project, Premiere will not remember that you clicked "Offline all" and will ask you to re-attach media again when you re-open the project. My current workaround is to point the missing proxies request to the original rushes. That way Premiere thinks that proxies are attached and the missing media warning goes away.
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