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OpenRGB and Proxmox VMs
You would be better off searching or asking how to accomplish this on a Debian system. Since Proxmox is based on Debian (latest Proxmox is based on latest Debian at the time of writing), if you understand how to accomplish this on Debian, you could also do it on a Proxmox install. I don't know anything about controlling the lights from inside a VM, though. I would stick with trying to accomplish this on the Proxmox host itself.
It might be possible to control them inside a VM, but I don't actually know what you would have to pass through for this kinda thing.