Suppose I have a server and no-one can hack into my local area network. I want to Remote Desktop into my server from Internet. Exposing RDP is the most foolish thing I did do once and the server was brought down within days. I have configured IKEv2 now to get a local IP, but am regularly facing error 809, which goes away as soon as I restart Remote Access on Windows server. Now, my question is if I use RDP over proxy, am still vulnerable to attacks?
A proxy server and VPN server roles are different on your scenario.
A VPN creates a new network interface that is on the same LAN as the VPN server, allows you to connect from the internet and use the network as if you were on the local network. In this case, you enable RDP only for the internal network and still can connect.
A proxy server is the reverse. It allows you, from the local network, to reach sites on the internet. It protects the internal network from attacks, by providing only one gateway to the internet and usually employing security measures, like filters, blacklists, scanners, and so on.
Mixing both does not make much sense. Unless the network you are currently connected have a forced proxy, it's not needed. And if you have to, a proper configured VPN will work even behind a proxy.
If the proxy is not trusted, it could MitM the VPN connection, decrypting the connection from the server and client, and changing/recording/replaying data. So if you have to use a proxy, pay attention to any VPN messages telling about mismatched fingerprints, invalid certificates and other security warnings. Other than that, it will work.