All a proxy would have done was make the ping worse.
They can't know what the ping between Korea and the US proxy is if all they see is the US proxy. What they get is just the data from that server to Amazon.
Had they been using a proxy instead of remotely controlling the laptop directly, only the proxy would have been found. Amazon would have hit an investigative wall without a police warrant to demand that information from the server owners (which could be set up independently too), they would not have this for a private investigation.