Wouldn't be easier and more efficient to just run docker containers?

It depends on what you're doing. Proxmox gives you the flexibility to figure it out as you go.

If you have a plan from the start and you know what you'll need and you're pretty confident it won't change, then sure.

If you want a box that you can slice and dice however you want (VMs, containers, etc) then something like Proxmox might be worth it.