The only thing I can think of is to sample the material from original object and assign to proxy. But this is impossible if you are loading a proxy into a new scene. So we would like to export proxy+material. If this is possible, I think it could be a nice feature request. Go ahead and add it.
Usually a proxy is reused for different projects and they have something in common so it makes sense to collect them in a max scene. For example trees/cars: Make ONE scene “car_corona_proxies.max” where you store all your car proxies(!) with the proper material assigned. For a new scene/project just merge the proxies you need from there instead of using the “Load from file…” button of a newly created Corona proxy.
This has several advantages in material handling also: You can have a “red”-car-proxy “green”-car-proxy “blue”-car-proxy in your “car_corona_proxies.max” file sharing the other materials except the basic car paint. Same goes for trees/foliage etc.
I´d only wish there was some way to get all those mrProxies we have converted without messing around with the original data :-/