Proxy wars were the only way actual success in the Cold War could be measured, so they were fairly significant. For the US, proxy wars were indicative of containment policy. In the eyes of the US, if a proxy war was lost then Communism would spread (domino theory) and threaten our way of life. For example, in Korea the fear was if Communism spread throughout the whole peninsula, it could spread to Japan (which the US was desperate to rehabilitate as a powerful ally) where conditions were ripe for Communism. This was especially important post WWII where many nations who were ravaged by the war had poor economic conditions--something Communists capitalize on. The US had to use proxy wars in order to enforce containment and stop the spread of Communism, so in that case they were very significant. In other cases, resources were the big issue. Speaking to your reference to Afghanistan, the Soviets had a chance there of get valuable oil resources--something the US did not want the Soviets to have of course. Resources are always a massive part of any war--hot or cold--and if the US could stop the Soviets from gaining access to oil, that would not only be beneficial in protecting the US but a denial of resources (which are very important to Communist industrial nations) could portend the fall of Communism in Russia. In the case of Afghanistan, too, the US was worried about losing a foothold in the region, and Communism spreading across the Middle East, including their ally of Israel. So, while losing a specific proxy war would not have had a direct effect on either side (like losing a World War would) the outcome of proxy wars had a significant impact on the course of the war, and possibly the success of either Democracy or Communism. But finally, losing a war, like losing the space race, would definitely have had an impact on the prestige of the nation--especially in a war that was almost immeasurable since there were no outright conflicts. If you're looking for more information on the Cold War and its proxys try: Melvyn Leffler, "The Specter of Communism," it provides a very good history of the early Cold War (especially Korea) also try "We Now Know" by John Gaddis for a more modern interpretation (not revisionist, just written as more information came out).