you can logon to any proxy in a Central Management, but once you log on to one, all others will be locked. If you log on to Proxy 1, Proxy 2 will tell you there is already a GUI attached. If you log off from Proxy 1, wait a couple of seconds, and logon to Proxy 2, it will work (Proxy 1 is then the locked one).
The rule is: You can logon to any machine, but only one machine can host the GUI at the same time.
Thanks it eventually let me in.