Apply a LUT to proxy from R3D

Correct, the "RED Source Settings" Source Effect is not supported with the Proxy Workflow.

https://helpx.adobe.com/in/premiere-pro/using/ingest-proxy-workflow.html

It's mentioned in the "Known items & tips" section.

The workaround would be to set the RED Source Settings as desired to the RED source clips, then send the RED Source Clips to Adobe Media Encoder and transcode to settings that will work well as a Proxy (like custom QuickTime using ProRes Proxy at a snaller frame size, and then attach the resuling MOV files via right-click > Proxy > Attach Proxies....

When creating Proxy files manually like this, it's especially helpful to follow the following tip from the "Known items & tips" section fo the Premiere Pro user guide:

• The recommended Proxy workflow includes appending "_Proxy" to the name of your Proxy clips (for example, scene01_Proxy.mxf) and placing Proxy clips (on disk) in a folder named "Proxies" that is placed right next to the Full Res clips. This helps with reattachment of clips. The Create Proxies dialog's default destination setting takes care of both of these conditions. If you happen to set a custom destination, then you should add the Proxies folder to the destination. By default, any Create Proxies action automatically appends "_Proxies" to the clip name.