This is not due to the VMAC not being supported, but to setup proxy ARP with a VMAC you need to use this format:
add arp proxy ipv4-address <NAT-IP> macaddress <VMAC> real-ipv4-address <Member IP>
So each member will have it's own IP address in the last field.
So in fact Proxy ARP should not be part of a cloning group, you can test it by enabling the ARP item in the cloning group and then try to add a proxy ARP, if it tells you it is a part of the cloning group, just add a space in front of the line and you will see it will accept the command.
Regards, Maarten