Placement Groups is a capability to achieve co-location of your Azure Infrastructure as a Service (IaaS) resources and low network latency among them, for improved application performance.
Azure proximity placement groups represent a new logical grouping capability for your Azure Virtual Machines, which in turn is used as a deployment constraint when selecting where to place your virtual machines. In fact, when you assign your virtual machines to a proximity placement group, the virtual machines are placed in the same data center, resulting in lower and deterministic latency for your applications.
The VMSS should share the same region, even it should be the same zone as proximity groups are located in the same data center. Accordingly, it should be proximity 2 only.
Reference:
https://azure.microsoft.com/en-us/blog/introducing-proximity-placement-groups