Just found it is a display bug. If the backlink is not found on the submitted domain, the error has not been shown.
And the proxy is of course not added to the database 
Just a small display fix, open includes/templates/submit-proxy.php
After
PHP Code:
<input type="text" readonly="readonly" value="<?php echo htmlentities(get_config('reciprocal_link_2')); ?>" size="40" />
Add
PHP Code:
<?php submitError($error, 'backlink'); ?>
So it will become
PHP Code:
<input type="text" readonly="readonly" value="<?php echo htmlentities(get_config('reciprocal_link_2')); ?>" size="40" />
<?php submitError($error, 'backlink'); ?>
Now if backlink is not found, an error will be displayed
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