Proxmox is a hypervisor OS, and its value comes from its virtualization and container-management features. These features include being able to pause, resume, snapshot, backup/restore from snapshot, and live-migrate VMs or LXCs to another server in just a couple hundred milliseconds of downtime. Once you run docker on the hypervisor itself, you lose these features, which defeats the purpose of running Proxmox in the first place.

There's also the security angle. Containers managed by Proxmox are strongly isolated from the host, but containers running on Docker sidestep this isolation model. Docker is not insecure by design, but it greatly increases the attack surface. If the hypervisor gets compromised, the entire cluster of servers will also get compromised. In general, as little software as possible should be installed on the host.