Under which file is the proxy arp configuration stored?

The proxy ARP configuration is not stored on the management server; the management server handles policy compilation but the gateway enforces ARP responses.

While local.arp is the correct filename, placing it on the management server is incorrect - the file must reside on the gateway that performs ARP.

The path $FWDIR/state/_tmp/proxy.arp is not the correct path; the correct path is $FWDIR/conf/local.arp on the gateway.

The proxy ARP configuration file local.arp resides at $FWDIR/conf/local.arp on the security gateway itself, because the gateway is the device that responds to ARP requests on behalf of NATted addresses. The gateway enforces the NAT policy and must have local access to this file at enforcement time.