The 3ds Max File > Archive option should handle this. It packs all assets into the archive, so if your scene contained some proxies (regardless if they are from Cosmos or not), those proxies should be included in the archive. If something isn't working, I would try this:
- Go to the folder where your archive was unpacked
- Search for *.*
- Select ALL files that are found
- Paste ALL files into the same folder where the .max scene is located
This way you will have the .max file and all assets in a single directory and 3ds Max should see them.
Of course it's much better to keep all assets organized into folders, but this is just a troubleshooting idea to find out what might not be working.
I don't think in this case it matters whether you are using Cosmos or not.