Set of steps which help to reproduce the issue when connection with sshpass through a proxy

sshpass_issue.txt

# Create SSH keys to be able to use localhost as the proxy
ssh-keygen
cat ~/.ssh/id_rsa.pub > ~/.ssh/authorized_keys
chmod 600 ~/.ssh/authorized_key
chmod 700 ~/.ssh

# Create the SSH config
cat >~/.ssh/config <<END
Host *
        # !!!Make sure this directory exists!!!
        ControlPath ~/.ssh/cp/%r@%h:%p
        ControlMaster auto
        ServerAliveInterval 60
        ServerAliveCountMax 2
        StrictHostKeyChecking no
        UserKnownHostsFile /dev/null
        ControlPersist 1h

Host proxy
        HostName localhost

Host remote_no_proxy
        HostName 10.129.1.236

Host remote_via_proxy
        HostName 10.129.1.236
        ProxyCommand ssh -l $USER -q proxy nc %h %p
END

# Create a file with the remote user password
echo "mypassword" > ./pass.txt

# Close all connections
pkill -x ssh
# This creates the control file for the remote and the file stays even after the command finished:
sshpass -f pass.txt ssh -l remote_user remote_no_proxy 'sleep 2'

# Close all connections
pkill -x ssh
# This creates the control file for both, the proxy and remote but after the command finished, the SSH session gets closed with "packet_write_wait: Connection to UNKNOWN port 0: Broken pipe" and the control file for the remote disappears:
sshpass -f pass.txt ssh -l remote_user remote_via_proxy 'sleep 2'

# Close all connections
pkill -x ssh
# This creates the control file for both, the proxy and the remote and both stay even after the command finished:
ssh -l remote_user remote_directly 'sleep 2'