If "create proxy media" is grayed out, that means either proxies already exist, or something else is wrong. The screen cap you posted says "missing file" for the clip you're trying to create proxies on. Make sure the viewer is in "original media" mode.
If in View>Optimized/Original, that clip still says "missing media," you can't create a proxy if FCP cannot find the media. The next step is select that clip in the Event Browser, then do File>Relink>Original Media. Do not complete the relink -- just look at the pathname at the bottom of that dialog. That shows where FCP expects the original clip to be. That pathname may give you some clues about where it formerly was or why FCP cannot find it. Once that is resolved, you can probably create the proxy.
If by "all these files already had proxy files, before I deleted them" you mean you deleted the original files *within* FCP, not just the proxies, it's fully expected the original media and proxies will be gone.
If you import media using "leave files in place," then you create proxies, then you manually delete the original files using Finder (external to FCP), the proxies will still be there. You can view those using View>Proxy Only.
If you then switch back to View>Optimized/Original, the clip will be red -- you deleted it. If you delete the proxy, then try to recreate it, you cannot -- you previously deleted the original media.