1 - quickest way to find out (and learn) what happens is to just do it (When in doubt, try it out!) and assuming no errors, compare the results (sp_help <proxy_table_name>; select * from <proxy_table_name>)
2 - have you tried using the sp_placeobject proc to move an item to a different segment? have you tried using sp_bindcache to bind your proxy table to a data cache?
3 - there's always going to be some performance degradation when using a proxy table, more so if the proxy is an inner table that has to be accessed multiple times during a query (ie, you're making a separate network call for each inner table join/reference); and yes, this performance hit exists for loopback-based proxies, too
