A proxy server is not a network router, a proxy server is a client request-forwarding server.
My guess is that your proxy server is actually a router/firewall, and there is another ethernet segment (used by A1 and A2) that your ADSL modem doesn't know about, so traffic destined for A1 doesn't get forwarded to the router by the ADSL modem.
For the right picture, it is important to take into account all devices (except switches) and services involved.
This would be a picture of non-NATed network with two segments (192.168.1.x And 192.168.2.x) and a proxy server/network router with two network cards (connected to two eth segments).
192.168.2.101(A1) 192.168.2.102(A2) 192.168.1.101(B1) 192.168.1.102(B2)
+-----+------+ | |
| | |
192.168.2.255(router-eth1) | |
192.168.1.100(router-eth0) | |
| | |
ADSL modem/router(for 192.168.1.x network)
The ADSL modem/router now needs a subnet mask on its internal IP address to ignore all traffic destined for 192.168.1.x and 192.168.2.x, so it will not forward those to the internet.
Subnet mask: 255.255.252.0 (lower 2 bits in byte 3 are off, meaning 192.168.0.x, 192.168.1.x, 192.168.2.x and 192.168.3.x are considered to be internal networks).
The proxy/router needs a rule to accept traffic received on eth0 and destined for 192.168.2.x, and forward that to eth1.
If you need the protection, do not accept traffic from the ADSL modem's internal IP address on eth0.
There should only be traffic generated by the ADSL modem on its internal IP address when you manage it from an internal IP address, but you should still be careful to protect 192.168.2.x., as the modem is exposed to (and can be hacked from) the internet.
In either segment there should be only one DHCP server (Don't forget that ADSL modems usually also include a DHCP server.)