The proxy is also susceptible to application-level threats that the VPN is not.
You sure about that? I mean, to use a VPN your need some kind of application that could potentially be vulnerable or have some zero day exploits.
In contrary, a proxy is as simple as to forward your traffic to another computer through a SSH tunnel which doesn’t specially need some kind of application but only relies on lower level package.
Maybe I misunderstood your comment but If I’m wrong I’m agear to learn something new.