One quick note about your statment:

using DBI::Proxy on both sides,

You don't actually use DBI::Proxy on both sides. You use DBD::ProxyServer on the MS SQL side and DBD::Proxy on the client side. DBD::ProxyServer runs in a daemon (or service, whatever your OS calls it) and uses another DBD driver (usually DBD::ODBC, but can be any DBD) to connect to the back-end database.

If you have (or can get) Programming the Perl DBI by Alligator Descartes and Tim Bunce it covers setting up a DBD/DBI proxying in some detail.