To generate multiple proxies in a batch way, one is to add the video files in the VSE then one selects all the video files then generates proxies in the side panel. In the VSE, add movie then select the files you want to generate proxies from then add movie strip will import video files in the VSE as strips.
When doing so with a large amount of files (superior to 30), blender crashes. When reducing the amount of files to around 10 to 20 files, it will work but the following happens: after selecting the file then clicking on "add movie strip", blender freezes for about 30 secondes to a minute. Once in the VSE, after selecting the video strips and asking blender to generate proxies, blender will freeze once again (not responding on top) and eventually will unfreeze after a minute or so and start generating proxies. The more files are added, the longer the wait (several minutes). Depending on the computer, adding more than 20 to 30 files at once in the VSE will generate a crash.

This bug has been noticed on several windows 7 and windows 8 computers (desktops and laptops) with 8 GB of ram.
Video files imported were 4K mp4 files (H265) from a samsung NX1 (samples available online)
Occasionnaly windows will display a window saying that there is not enough memory on the computer and will suggest to close all programs. Task manager shows use of 7,25 Gb of memory out of 8 gb, cpu used at 100% during the proxy building.