LVM thin in the same VG as virtual machines works fine. Proxmox treats thin and regular LVM as separate storages, but they can share one volume group. The real risk is thin pool exhaustion blocking regular LVs.

How LVM-thin coexists with regular LVs
LVM thin pools are just logical volumes with a special type. They sit in the same VG like any other LV. Regular LVs and thin pools don’t interfere at the LVM level. The thin pool carves out its own space, and regular LVs use the rest.
The catch is that thin volumes inside the pool are sparse. They only consume space as data is written. If the pool fills up, writes to thin volumes fail. But regular LVs outside the pool are unaffected—they have their own allocated extents.
Proxmox storage.cfg setup
Add two storages pointing to the same VG. One with thinpool set, one without.
lvm: local-lvm
vgname pve
thinpool data
content images,rootdir
lvm: local-lvm-thick
vgname pve
content images,rootdir
The first uses the thin pool data. The second uses regular LVs directly on the pve VG. Both can be used for VM disks.

The exhaustion caveat forum answers omit
If the thin pool fills up, Proxmox will pause VMs using thin volumes. Regular LVs keep working. But there’s a subtle issue: if the VG itself runs out of space, you can’t extend the thin pool or create new regular LVs. Monitor lvs output for Data% on the thin pool.
Keep at least 10-20% free in the VG. That way you can extend either the thin pool or add a regular LV when needed. I’d rather have headroom than a full VG with no options.
If you’d rather pay for this
Proxmox Backup Server doesn’t solve thin pool exhaustion, but it does give you reliable backups before you mess with storage. It’s free if you run it yourself on spare hardware. Worth it if you’re doing storage experiments.
Related: How to move a raw disk image from LVM-thin storage in Proxmox