A proconsul was the highest-ranking regional official of the Lady's Empire. The Lady personally admitted that "the empire is a good machine that works smooth as long as the proconsuls are sure someone is in charge", indicating that they played critical administrative roles. Despite their importance, they were still subordinate to the Lady's champions, the Taken (first, the Ten Who Were Taken, and later the new Taken).
Proconsuls were only mentioned in the Annals of Shadow Games. Very shortly after the Battle of the Barrowland, a group of 25 bandits murdered or kidnapped the Falcon of Rail, an Imperial proconsul who was headed north from the Tower at Charm. This was the first sign of the dissolution of the Lady's hard-fought Empire.
Croaker mentioned proconsuls one more time when he learned that his birth city, Padora, had been incorporated into the Empire sometime after the Black Company defected to the New White Rose Rebellion. He was surprised that the Empire had expanded beyond Beryl, farther south into the southern continent: "it never occurred to me that the southern proconsuls might expand the borders beyond the maritime city-states, only the Jewel Cities themselves were of any strategic value."
The proconsuls were not mentioned in The Silver Spike but no doubt many of them suffered when the Limper and Toadkiller Dog rampaged from the Barrowland all the way down beyond the southern frontier of the Empire. Soon after, any remaining proconsuls presumably gained a great deal of independence when Exile, Gossamer, Spidersilk, and the other dread lords and ladies of the Tower were wiped out in Oar during the retrieval of the silver spike.
In Port of Shadows, it was revealed that the Lady's Empire eventually dissolved. The proconsuls were presumably either overthrown or became independent sovereigns.