When importing a 3D-model from Chaos Cosmos the default place in which the proxy file is stored, is the user folder.
As my user folder contains a mutated vowel ("ö") it seems that this is not supported. In C4D (on windows) in the URI of the file the "ö" is substituted by "ᅢᄊ", so the link doesn't work.
Seems that ö is not supported by default. I can change it manually to make the link work.