I have the same experience. I compiled and flashed the latest git head with WLED_ENABLE_DMX
I wired up some same DMX RGB PAR Cans and I can use the WLED UI to control colors & effects, this is pretty cool! I really like the feature. DMX proxy universe set to “0” works as expected.
But when I set the DMX proxy universe != “0” - same as the DMX input universe (in my case E1.31 not Artnet) - then, when sending E1.31 DMX to the configured universe, the DMX signal gets OFF after a really short time not receiving DMX. So DMX lights correctly act/proxy to an active DMX signal, but the DMX signal gets blacked out after a short time for an inactive E1.31 DMX input.
Difference to yours: In my case “DMX output” tab, the “Proxy universe” setting is kept as configured!
I already use WLED since ~1,5 year to control LED stripes with E1.31 DMX input in “Efffect” mode. When first trying to control WLED via DMX “Effect” mode, the same blackout happened when E1.31 was inactive for a short time. Then I noticed setting “Timeout” controls how long to wait before this blackout. When “Timeout” is set to 65000 ms the last DMX signal state is kept forever. This solves this “blackout” issue for E1.31 DMX inputs.
The DMX proxy feature sadly doesn’t use this “Timeout” config 
Feature Request: Take the “Timeout” config into account for DMX proxy feature.
P.S. As far as I know analog DMX signal state is always kept/fired through the DMX cable until new changes occur. Simply spoken: If no new DMX input is provided, the last DMX signal state is on the line.