Hello
Here is the Scenario
I have LAN at my organization with Mikrotik router as a NAT and fire wall device.
I have also deployed windows 2019 server in the same LAN as a wds server with DHCP service disabled.
I want client computer to use wds services for remote windows installation.
The client PCs get DHCP IP from the MIKROTIK router in LAN.
The problem is when I PXE boot the client PC, though it gets IP from mikrotik but after some times comes up with the message "proxy dhcp server did not reply to request on port 4011".
It is also to mention that I have created a VM on the host server 2019 with networking settings set to bridged mode, that VM works well gets same LAN IP and communicates with wds server finely as contrary to the physical machine.
https://learn.microsoft.com/en-us/answers/questions/647647/pxe-e55-proxydhcp-service-did-not-reply-to-request has good info on your question.
First thing to try would be having the IP of the PXE server listed as an IP Helper (DHCP relay) in the config on the router.