I have to do this already with practically all software I write, so the comexity is already baked in. Sure, if you don't already have a database or cache, maybe a proxy is simpler, but otherwise it's just extra infrastructure you need to manage.

> The proxy server is the right design decision if you are truly trying to build something production worthy and you want it to scale.

I've been doing stuff like the above (not for LLMs but similar use cases) for years "at scale" without issues. But in any case, you need to store state the moment you scale beyond a single proxy server anyway. Plus, most products never achieve a scale where this discussion matters.