Steps to reproduce:

1. Create group of proxies and monitor some host with it
2. Monitored host should have some Trigger, Action that is being fired by this Trigger and E-Mail media type with Template containing {PROXY.NAME} in message ie. message body
3. When Trigger is raised and Action is taken you got notification with empty {PROXY.NAME} field

Result:
See example screenshot

Expected:

should contain actual Proxy server being used to monitor this host (one from the Proxy Group the Host is currently assigned to)

Additionally would be nice to introduce new built-in macro like {PROXYGROUP.NAME} containing HA Proxy Group name to fill the gap.