it seems like you have done this but just to be sure have you done this ?
make sure once you have sent model to proxy ,you then in main model select that proxy and create new section and name wheel_01 or pravy predni , whatever name your using in your model .cfg , dont rename the proxy tho

just create a new selection name in addition .
you can animate whole parts like that but you cannot however have another animation in the proxy model p3d if that makes sense .
P>S make sure they are highlighting that proxy when you click on them ,you may have to redefine to be sure.
i know this works from pas because damage wheel will spin and its a proxy just the same.