As a former Proximitron-user (actually, I still use it [I was a site admin on a Proxomitron forum], but for Microsoft Excel web queries and not for my web browser), Proxomitron and ProxHTTPSProxy both can be thought of as a "VPN".
I shall refer to both as simply Prox. ALL of your web browser "data" flows "thru" Prox.
Your web browser does not request data from MSFN.org, for example.
Rather, your web browser requests data from Prox. Then Prox requests the identical data from MSFN.org.
MSFN.org then sends that data not to your web browser but to Prox instead.
Prox is located on the same "computer", but the data is not being sent to your web browser, it is being sent to Prox.
Prox then sends that data to your web browser.
Your web browser never "touches" MSFN.org.
Your web browser only "touches" Prox - it requests data from Prox, it receives data from Prox.
So as far as an "SSL Certificate Chain", you only need to maintain ONE. The connection between your web browser and Prox. The Proxomitron community referred to this as "rolling your own" Proxomitron SSL Certificate.
As long as the web browser sees a "secure" connection to Prox, the ONE and ONLY certificate now needed for SSL, then the web browser will always display a "green padlock".
So your web browser (especially Firefox and the damn "nag screen") never EVER "knows" that MSFN.org's certificate "chain" is 'broken' because the connection between the web browser and Prox is "not broken".
I'm over-simplifying, but that's the general idea.