I know this is an old post and my answer is probably not relevant to you anymore but I want to leave a reply here in case someone else finds it useful in the future, since I was also a bit confused about this myself when setting up a proxy.
The answer is, the proxy server is, at the moment of writing, packaged together with the server package for Windows and MacOS. To start a proxy, run the server executable with proxy-specific arguments. There are also Windows-only arguments available to run proxy as a service. See the docs for more info.