Yeah, Proyas is a pretty cool dude, he reads the Tractate and don't afraid of anything.
To be more serious: I suspect Proyas' fixation on autarchy and moral purity (as defined by Inrithism) makes him uniquely useful and perhaps this has caused Kellhus to have some germinal affection for him in the same way he has some residual love for Esmenet. Proyas is not and never will be a Dunyain, or even a halfie, but there is a crude resemblence between their concern for self-movement and his for total self control, and I think Kellhus may look on him as a student of sorts, in more or less the way Proyas sees himself when he enters Kellhus' tent in WLW and is thinking over how he has been Maithanet's disciple and now is Kellhus' instead. I doubt Kellhus was totally upfront with anyone, even Maithanet, but his dealings with Proyas are probably the closest he gets to pure honesty.