If you use the ejb client library to invoke a remote stateless session bean, the proxy is created locally. There is no server-side round-trip to get a proxy. But, of course you can hold a reference of the proxy.
You find a detailed description in the community documentation.
The Proxy mostly not contain server related information. It hold the identifier (ejb:app/mod/Bean!xxx), the distribution logic is stored inside the EJBCLientContext.
You can cache the proxy in your application, also it is possible to serialize it and use in a different environment. The destination server depends on the client-context if the EJB is invoked.
This is a big difference to former versions!