zmproxyinit needs to be run on each server you want to do the changes for, it queries the package DB to determine which operations to perform.
i.e., if your proxy instance and your store instance are on separate servers, you'll need to run it on each of them.
The requirement to run it on each of them separately will be resolved in 5.0.9, but you'll have to use an override flag to do it, and will still need to run it once for each host.
This is because different things get set depending on which service is being dealt with (store or proxy).
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