I have run Windows as VMs both in Proxmox and in VirtualBox and when the hardware is identical Proxmox does preform better as it is a level 1 hypervisor vs VirtualBox is a level 2. That is to say Proxmox is your OS similar to VMware or ESXI. Where as VirtualBox is software that is installed on top of an OS such as Windows or Mac or Linux.
One thing to consider if you move to a level 1 hypervisor is that it should be dedicated to that and you would need something like RDP or VNC to gain access to the Windows VM, while you can install a GUI on Proxmox if you really want an all in one solution. It depends on how you want to allocate your hardware resources and your specific use case.