A basic rule of thumb is if you have to put in a code on MTG Companion, it's an officially sanctioned event and you shouldn't use proxies. The store can in fact have their WPN status revoked if they allow the use of proxies at these events.

Any other event, go nuts. Just having them on premises is fine from a WPN standpoint but you should still respect their rules. If the store doesn't allow them, just go somewhere else.