@JG Thanks for reaching out.
Changing/Adding the Proxy address is not possible from Azure AD portal. That attribute is mastered by Exchange and hence you will need to use exchange admin center to do it.
Login to https://admin.exchange.microsoft.com/ , navigate to mailboxes, find the user and then you can edit the email address types.
-----------------------------------------------------------------------------------------------------------------
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.