You are assuming that if a signal is coming from Proxima Centauri it is unlikely because life can only arise in a small number of systems in the galaxy, so why would it arise in the star closest to us.

This makes sense, but there is no reason to assume that whatever civilization sending a signal to us from Proxima Centauri actually originated at that star system. They may have colonized it or have an outpost there.

If so, then it makes perfect sense to hear from them. Their outpost is close to us and heard our incessant EM chatter and loud nuclear tests and decided to send us a message.

The whole thing is wildly unlikely, sure, but it is impossible to assign a probability to it. But I think the outpost scenario is more likely than a civilization arising on Proxima Centauri.

So analyze the signal and let's see what we've got. Hopefully nothing, or the next time we hear from them, it may be from geostationary orbit above the Earth. Gulp.