Interesting response. Are you suggesting that the Soviet Union was unaware that the Mujahadeen was getting weapons and training from the U.S., or that the United States didn't know where North Korea got their MiG-15s and who was flying them? I suppose that may have been true for a time, but it's not like the jig was up as soon as intelligence reports revealed the truth.
The real benefit of the proxy wars was that the level of indirection was believed to make an all-out nuclear conflict less likely, and that large chunks of the general population could be kept in the dark, unable to wrap their heads around "why we're over there".