As soon as account go to PENDING state (and this happens if you change proxy, remove useraneme or password or both from their fields), cookies will be deleted.
What you can do is, go to Social profiles and click on your FB account (the one you want to change proxy for), then scroll down and see the Unique name of the account, it looks something like this: DH1275 (example), it's located right below VERIFY ACCOUNT button.
Now, open Mass Planner installation folder, go to browserCookies and copy all content from there to new folder on your desktop (create new folder, name it as you want).
Open Mass Planner again, change the proxy but do not click on VERIFY yet. Copy content from folder on desktop to the browserCookies > Your Account Unique name folder.
Then verify account. This should keep your cookies. Try with one account and see how it goes.