This is a good way to do. SME has been designed exactly to do that on a bare metal machine, and you just transposed this on VM, with proxmox acting as a supervisor and as a network switch.
Some people will want to implement another VM dedicated for the front firewall, but SME is able to handle it as long as you do not need to had some really specific needs for your LAN (like multiple zones)
However without any firewall distro you could also choose to implement the network and firewall at the level of Proxmox. It is able to handle a global firewall and a per VM.
I tends to say KISS is better. So stay with what fill your needs.