A hint, when posting full config its often easier to read in the set-commands mode rather than json mode.
Also piping through strip-private can be a good thing too like so:
show configuration commands | strip-private
And finally when posting the config encapsulate it by three ` chars before and after the codeblock you like to have quoted like so:
text
When it comes to your multicast question you do seem to have igmp-proxy setup but what about PIM and IGMP itself?
https://docs.vyos.io/en/latest/configuration/protocols/igmp.html