It's not supposed to update automatically. You've told After Effects to refer to a file instead of the live comp. The idea is to do this with something you are not changing to free up resources to work on something else in the comp. For example, you might proxy a background comp top focus your work on the foreground elements.
You can disable the proxy in the project panel by clicking the little proxy rectangle to get your live comp back, and you can render a new proxy any time you like.