Though, as I can see on Chaos Group's forum, it's already sorted out, let me post it here too.
It's possible to enable / disable V-Ray proxy objects under V-Ray RT Options - Geometry - VRayProxy objects (note that on the GPU, proxies do not have their memory-saving properties as they have in the CPU engine and the production renderer; currently, they are replicated everywhere they are needed. This will be optimized in a future release of the V-Ray GPU engine).
Let me add, that this V-Ray RT setting is for ActiveShade Mode. If V-Ray RT is selected for Production Rendering Mode, such parameter is not available.