An SMTP relay is not a proxy. A proxy stands in for the client, making it appear to the server that the proxy is the client. An SMTP relay uses a protocol that makes it clear that the relay did not generate the mail; in fact, a reply to or error message for the mail does not normally go back to the relay.
In fact, if spam filtering had developed a little differently, there would not have been any need to stop open mail relaying: the goal of routing spam through an open relay was to circumvent spam filters that rejected mail that came directly from a known spammer mail server. If those filters were a little smarter and rejected mail that had a known spam originator anywhere in its received: chain, the open relay trick would not have worked.
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