no shader support is the main problem, that all
if you want to store your proxy with shaders, you have two options:
1. finish your proxy including textures and save it as c4d file.
2. group the proxy object(s) with textures into a null object and drag it into the contentbrowser -for example- make a new preset called Corona Proxy -> drag and drop it there and you can load it from here into any scene you want - including materials..
it takes like 2mins for complex objects like cars, to fully proxy every single part, move or copy the textures on the proxy objects and add it into the contentbrowser...
only things to remember are to change the objects coordinates to 0/0/0 before you proxy it or the proxy parts wont fit together correctly and to keep all .cgeo files/paths so dont save the proxy cgeo into random folders spread all over your drive, instead make a folder (for me its D:\CoronaProxy\) and export every proxy.cgeo in there with the correct name... not that hard really..
even vray 3.4 does require the exact same setup for proxies.. if you dont apply the materials onto vray proxy they will be white. sadly you cant even add the vray proxys to the contentbrowser because they dont save the geonometrie paths correctly.. so corona is even superior in this case..