You’re likely running into the issue that the proxy has no organizations/locations attached to it. In the org selector, select any org. The same for location. Then when you go to smart proxies, you’ll see the proxy and you can assign the org/loc.
I have observed the same thing with the Foreman installer for 1.20 onwards. Foreman 1.19.3 with keeping defaults in unattended install has the Puppet Server as Smart Proxy and Puppet Environment visible in the UI, newer versions don’t have this. Adding the Puppet Server as smart proxy manually results in the described error of being already registered.
It is a side effect of enabling taxonomies (locations + organizations) by default in 1.20 and removing the switch in 1.21. These problems always existed for users who enabled them and we should spend time to fix this.