I'm not from the ProxySQL team, but I think I can help here.
Have you added the user `proxyadmin` to the ProxySQL table `mysql_users` with the correct password hash, and then loaded that to runtime with "LOAD MYSQL USERS TO RUNTIME;"
If the MySQL users have not been added to ProxySQL, then ProxySQL cannot authenticate those users. The user's connection to the database is not 'pass-through', but 'man-in-the-middle', so you have to authenticate the users with ProxySQL, which then authenticates to the MySQL server using the same user credentials. This allows ProxySQL to process, alter, and route incoming connections as it knows which MySQL user they are coming from, and therefore where they are intended to be routed.
Regards,
Dave Rix
Senior Cloud Architect (AWS) / DevSecOps / MySQL DBA