Error with a proxy: "Cached Preview needs 2 or more frames to playback."
I have what I think is a pretty straightforward test project. I have two comps with one nested in the other. The containing comp has footage under the graphics precomp. The precomp is 3D layer.

I am reading the User Guide cover-to-cover, and on page 95 I'm learning about pre-rendering comps. The guide says, "An alternative to replacing the composition with the movie is to use the rendered movie as a proxy for the nested composition."
I'm curious about the alternative, and there are no links or instructions. I found the section on proxies (starting on pg 126), and I learned how to make one. So I performed these steps...
1) I right-clicked on the "graphics" comp in the Composition panel and selected Create Proxy > Movie...
2) This put the file in the Render Queue and I clicked "Render."
Now this happens when I try to play the video from the containing comp with the proxy enabled...

What is happening, and how do I fix this?
My system today:
Mac Pro 3.33GHz 12-core (mid-2010)
32 GB RAM
Sapphire Pulse Radeon 580 RX (8 GB VRAM)
macOS Mojave 10.14.5
