Using ffmpeg and the command below, I manually generated a DNxHR proxy file:
ffmpeg -i "source.mov" -c:v dnxhd -profile:v dnxhr_lb -c:a aac -b:a 128k -ar 48000 proxy.mov
Note my source was 44.1 kHz audio as noted above so I'm resampling that to 48kHz. Both the original and proxy file playback fine and sound fine in VLC.
In resolve, I right-clicked the file in question in the bin (so the original source file I'd imported previously) and selected Unlink Proxy Media and then Link Proxy Media... and selected my newly-created proxy file.
Same result as before: audio plays back at a lower pitch.
Unfortunately seems like this is an issue with the Proxy feature in Resolve... maybe it's looking at the original file or only wants to play 48 kHz, who knows.
