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ARP (proxy or otherwise) can only be configured for IP addresses on the same subnet.
Therefore, you can only do a proxy arp (meaning the gateway will respond to ARP requests for this IP address) if the address in question is on the same subnet as one of the firewall interfaces. 
Also, proxy arps in general are created automatically by the gateway when NAT rules are created.
One almost never has to actually create these anymore.

What you're describing sounds like an issue where other devices on the same subnet don't know which member currently has the VIP.
That sounds like issues related to gratuitous ARP: https://supportcenter.checkpoint.com/supportcenter/portal?eventSubmit_doGoviewsolutiondetails=&solut...
We send these by default on failover, but it sounds like other things on the network aren't updating their ARP tables in response (as they should).