Can you explain how you "told it to move the proxy data to another drive"? And what does "it appears to have sort of done it" really mean?
There is an option to store a copy of your original image files on a different drive, but there's no option to change the location of the local library (e.g. previews, proxies, catalog). I have read that it is possible by using a symbolic link, though I've never tried that myself. Is that what you did?