You can't filter Used clips as a Smart Collection, but in the bottom-left corner there's a button to reveal the Timeline Index (Shift-Command-2). The Timeline Index shows a list of all the used clips in your project. When you click on any one of these clips your playhead will move to the beginning of the selected clip in the timeline. You can right-click a selected clip in the Storyline and choose to Reveal in Browser (Shift-F).
Jasper thanks to you I discovered a new feature, thanks a lot for your answer! And discovered the concept of role, which is intersting.
I'm afraid though it doesn't help me to do what I wanted. I wanted to delete all proxy files from my project (I have more than 900 clips...), then select at once all the ones that are used, and then re-render the proxies for those clips only.