So I have a Menu collection that loads the game collection using a proxy, and then after the game ends I want to load back into the Menu collection using a proxy again.
But setting a proxy that goes from menu to game and from game to menu counts as a cycle that generates an error.
You most likely want your collection proxies to be in your main bootstrap collection that is never unloaded instead of within each individual collection being loaded.
The pattern I follow in my project is to have a main bootstrap collection that is relatively minimal and has setup stuff / proxies which then loads the initial screen collections and switches between them as needed.