The proxy feature only reroutes actions from the user to the proxy. The feature also has some issues (e.g. circular proxy arrangements can be setup, and proxies aren't notified of their assignment as proxy - people still need to talk to each other!).
Granting access to an interim resource can be done by the user on an instance basis, only (go to project or resource, open "Access this project/resource" search for and add your interim delegate. A real pain.
Our Workaround: Typically, we are granting the same rights to the same level of resources. This means, that a project manager in a particular group, can view and edit projects managed by the group. That way, if a project manager A leaves, project manager B can pick up project manager A's projects - with no changes required in CA PPM by project manager A or admin support staff. Also, groups at higher levels of management have superior rights than lower levels - so a project and/or resource manager's boss will be able to step in to manage, or reassign work as necessary. It works, we trust our people, and so far have not been disappointed.
Ideas: There are a number of Ideas regarding improvements to the proxy capability. Please, look at them and vote them up. This one, I really like - Selective Proxy. Why? Because it talks about an "advanced" proxy method, one that might recognize that not all of one's work will always go to one interim delegate. Additionally, it is likely that one's project management and resource management responsibilities might go to different delegates. Why? One might delegate project management down to a lower management level resource, while some resource management rights must be exercised by a resource at the same or higher level of management.
Dale