As soon as you move a clip from the bin to the timeline, a proxy will be generated (when auto proxies is enabled) or not when a proxy already exists. These proxies are also available in other projects. So which benefit do you expect from knowing which clip already has a proxy?
You can change that in the internal preferences. On the other hand you can select all media in the bin and by right-click force proxies creating. The result is that for all media that hasn't already a proxy, a proxy will be created. Working with proxies is a background process that makes editing high-res media easier on a less performance system. There is absolutely no need to know which media has a proxy or not, Vegas automatically handles proxy building and use.