As a new user playing with the proxy i made a configuration mistake which prevented my test to work while nothing warned me that my configuration was wrong:
DJ1: standard setup with 2000 entries under dc=com,
DJ2: standard setup with 2000 entries under dc=example,dc=com
PROXY: standard setup with --staticPrimaryServer DJ1 --staticPrimaryServer DJ2 --loadBalancingAlgorithm affinity
I then edited using dsconfig and edit proxyRoot settings to add "dc=com" and "dc=example,dc=com" to base-dn property.
This is wrong since all the server of a same partition are supposed to contains the same data and, so, at least the same base-dns.
It would be nice to have some error and/or warning in logs/dsconfig which would have give me some clue that my configuration was plenty wrong.