Proxmox and Docker don’t really do the same thing. They live in the same area, but the coverage is very different. You can always use docker when your host is running proxmox: either individually or in groups inside of an lxc, or all in w dedicated VM, or even natively on the same house if you prefer chaos. But you can’t do the opposite: Sometimes you just need a VM. Maybe you only need a couple of devices, and you know they run on or are even designed for docker, then that’s the better option. In all other cases, and when just getting started, proxmox is just the way more universal solution if you’re only planning on having a single host (for now).

The management tools in proxmox are great. The community scripts are a fantastic resource and only work with proxmox. I would suggest you set it up natively, not on top of Debian though, even if that’s already installed. Not the least of the reasons are to be able to use ZFS easily, including on on the boot partition (select that in the installer).

Finally, if you’re gonna stick with docker, like others said: consider podman. That really does the same thing docker does, but it’s fully open source. Arguably it’s better in some areas, but on the flip side might, in occasion, require fiddling with something intended specifically for docker and using advanced setups.

Also there really is no wrong answer, either. And you can always change whatever you choose.