Yes I have the a7sIII and I keep using XAVC-S 10bit 422 for my videos, with the wedding and documentary projects they used so much storage space, so I always wonder if I can switch to XAVC-HS and the Vegas Pro can handle it well.

That camera has an option to create proxy files. Not sure if you can rename the file type to *.SFVPO and they just work as proxies in Vegas, or VP19 might have an option to select your own proxy files. If you shoot in lots of short clips it would likely be simpler to let Vegas create the proxies. Film in very long takes, and using the camera's proxy could be best.

The advantage in camera created proxies is that you have a 10bit option so you could potentially color grade in proxy mode. The potential negative is 10bit is only available if you choose to create HEVC proxies, A 720P HEVC proxy at 60 or 120fps might be a problem, Vegas doesn't like HEVC and high frame rates even when GPU decoding is available, and that's another problem, Vegas can't GPU decode your camera's codec when using HEVC 10BIT 420 with Nvidia or AMD GPU's . Is it any different with camera created proxy files?. no idea, but probably not.