Hi Macro-3735,
Currently adding proxy address for a mailbox using Graph API is not supported. Please check user resource . You can see a proxyAddresses property available in beta but it is read only and can be updated only through M365 admin center.
you can submit a feature request idea via this support link to suggest tweaks to the document content, which will be monitored by Microsoft team and make the enhancements to Microsoft Graph APIs. I will also upvote for you.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".