Yes you are right.
I tested external application, which uses ECC inbound ABAP proxy to get inventories from ECC.
With "Role of Business System" set to "not yet configured" in SXMB_ADM of ECC,
ECC answers requests with
<SAP:Code area="INTERNAL">SYSTEM_NOT_CONFIGURED_AS_XMB</SAP:Code> (from SXMB_MONI)
When I set "Role of Business System" to "Application System", then inbound ABAP proxy works.
"corresponding integration server" I leaved blank.
I suppose that "corresponding integration server" will be missed for outbound proxy. Right?