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Re-establish link to proxies when they are made local after appending.

This allows appending of an entire scene from another blend file into
this one, even when that blend file contains proxified armatures.

Since the proxified object needs to be linked (not local), this will
only work when the "Localize all" checkbox is disabled. The appended
proxy object should also not be referenced from anything in a library
(for example in a constraint). Referencing it from the appended data
should be fine.

Fixes T49495.