Why not ask /r/Proxmox?
In general its not recommended to run Docker inside a LXC, especially for a beginner. However plenty of people (including myself) are doing it, you just might run into a few hurdles.
If you plan on having mostly a single Docker host with your containers running, then i would suggest a VM for that.
If you want to run multiple hosts separately, then the overhead from each VM adds up and i would recommend separate LXC instead.
This gets asked often, you could simply search for existing threads.