Hi Rohit,
I have never done a transit VPC with a Check Point but I have with a CSR 1000v. I had the same issues (not routing) and thought process (its a network device, all I need to do is get the traffic there and it will route properly). The only way I was able to accomplish this was to create a VPN between a CSR in VPC1 and a CSR in VPC2, then route the traffic through the tunnel. Although this was not optimal for me, it had to be done before my vendor supported direct BGP peering from my on-prem ASR to the VGW in their VPC.
This was costly and, as stated before, not optimal. Ill add to Vladimir's question, why the proxy in a completely separate VPC?
- Mike