I like the idea of it. I don't completely agree, but it's a possibility theory of what he could be. An evolution of humanity.
My theory is slendy is a 4th dimensional being. That's why he screws with electronics because of the electromagnetic frequencies he gives off. Like how spirits give off an EMF, he does as well, only much stronger. That's also why people get slender sickness. Since he isn't home to our realm, our dimension, our brains arent hardwired to be around him for periods of time and must adapt. Which is why some aren't as affected as others if they've been around him more.
As for the teleporting: it's likely a dimension hop, he opens a portal to one dimension and just goes over to his dimension, then can just go to where he pleases through another portal. That's why he can be in one place and go from one country to another in a matter of minutes. It'd be like walking through one doorway into another room.
Proxies I haven't gotten hugely involved with as I was once at that stage and have also been in a fight with one during a blackout of mine. But I believe proxies to just be brainwashed really, the slender sickness could eventually get to a stage where when you black out he can just have you do as he wants. But i'm not exactly sure on those.