This info comes from Trent who worked on the Proxy feature. Hopefully some of this info will be useful if not, let me know and we can dive deeper into it.
"Relink others automatically" has some conditions in order to work (which Create Proxies accounts for).
- The Proxies must have names matching the Full Res/original with "_Proxy" appended to the name. e.g.: Full Res = scene01.mxf, Proxy = scene01_Proxy.mov.
- The Proxies should also be in a separate folder, preferably next to the Full Res/original clips.
- You then want to choose the first clip it asks to attach to and the others should automatically relink correctly.
- Merged clips are not currently supported for Proxy
That said, there still may be some cases where you will have to attach one by one.