LD analysis in PLINK based on reference and a SNP list
It looks like the first command is calculating pairwise linkage disequilibrium r2 between your SNPs.

The second command is clumping your dataset based on a p-value over a file of association test results, which I guess is a pre-cursor to computing polygenic risk scores.

Clumping is the process of thinning your SNP list to only keep uncorrelated SNPs so that each representative region has only one marker. In this case you are asking PLINK to keep the marker with the highest p-value.

I'm not sure what your definition of proxy SNPs is but if you are looking for tag SNPs to a SNP of your interest, you should go with command 1 and choose a proper LD r2 threshold.