Does Proliferate work with Energy Counters?
Yes, like poison and experience counters before them players get energy counters, and proliferate can add an additional counter of a type a player has.

When Thriving Rhino enters the battlefield, you get {E}{E} (two energy counters).

This means that 2 energy counters are placed on you when you play a Thriving Rhino.

121.1. A counter is a marker placed on an object or player that modifies its characteristics and/or interacts with a rule, ability, or effect. Counters are not objects and have no characteristics. Notably, a counter is not a token, and a token is not a counter. Counters with the same name or description are interchangeable.
701.25a To proliferate means to choose any number of permanents and/or players that have a counter, then give each exactly one additional counter of a kind that permanent or player already has.