I am considering specifying a proprietary policy with the
font-family : "Proxima Nova";
Yes, it is. Just make sure you list some alternatives, like so:
font-family: "Proxima Nova", "Helvetica Neue", Helvetica, Arial, sans-serif;
This is just to make sure that users don't fall back on a default font of a different style, like
serif in this case.
Helvetica Neue, for example, is only licensed (by default - you can license it yourself although almost no-one does) for MacOS and iOS and therefor only available on those systems. The users that see this font have 'payed' for their license by paying for their OS (or hardware), so they can use this font without restriction. It is therefor legal. Now apart from some people who installed illegal fonts, the blame never comes to you.
You are not responsible for the displaying of a font that you did not provide. (You are responsible when you include a font with
@font-face or other services, but not for just referencing a potential local font on a machine.)