A proxy is a special type of object that works as a instance, but specifically for Mental Ray and VRay ("mr Proxy" and "VRay Proxy"). Usually with these renderers is better to use a proxy instead a native max instance, since it takes less memory (geometry is loaded dinamically from disk), and other benefits.
Actually, to use proxies in Forest it's necessary to convert the trees to instances using "Forest Tools". With dense forests, this may be slow because Max is not optimized to handle huge number of objects in the scene. Forest 3.2 creates the proxies automatically before rendering, using native MR/VRay engines. For Maxwell, there must not be differences, besides other fixes and improvements (not related with proxies), that are included in the release.