Why doesn't it?
Testing with:
xpra start --start=xterm --bind-tcp=0.0.0.0:10000 --no-daemon XPRA_STOP_PROXY_AUTH_SOCKET_TYPES= xpra proxy --bind-tcp=0.0.0.0:14500,auth=allow :1000 --no-daemon xpra attach tcp://:whatever@192.168.0.10:14500 xpra stop :1000
The proxy prints this without actually terminating:
2020-10-03 13:00:34,395 xpra proxy server is terminating 2020-10-03 13:00:34,397 Proxy Server process ended Unhandled exception in thread started by
Fixed in r27586
this ticket has been moved to: https://github.com/Xpra-org/xpra/issues/2683