This article provides information why extending networks with HCX Proximity Routing enabled, fails.

Symptoms:
On SDDC version 1.8, a network segment fails to advertise after extending network with HCX Proximity Routing enabled.

VMware HCX services on the SDDCs are operating with a set of network connectivity features provided by NSX-T.
Currently NSX-T Data Center does not support the Proximity Routing feature.

Network Extension with Proximity Routing is not currently available with NSX-T SDDCs on VMware Cloud on AWS (VMC on AWS)

Overview of VMware HCX on NSX-T Backed VMC SDDCs
https://docs.vmware.com/en/VMware-HCX/services/user-guide/GUID-E1F066D9-0AA5-4FE1-B3F4-98309C6801AA.html

Currently VMware is developing Proximity Routing with NSX-T.
Please see VMware Cloud on AWS Roadmap. 
https://cloud.vmware.com/vmc-aws/roadmap