We followed the same path you described, except for a scat trail excursion as high up the side of Proxy (Lower Falls) as possible… We did notice the same phenomenon of the pool at the base of the smaller cascades (Upper Falls), though to add that the water in that pool was crystal clear denoting an exit of some form.
There was a noticeable shift to the air as one nears either of the cascades (Upper or Lower Falls). One can feel the hot Summer air become suddenly colder, much like walking into a house or business that uses swamp-cooler style air-conditioning.
Yes, one must cross a lava flow waste land to get from the forested highway to the beautiful, nay exquisite, landscape that is the Proxy Falls (Upper AND Lower).
One more thing: We noticed what appeared to be a bridge crossing over the top of the larger cascade (and a figure crossing that bridge). Does anyone know of such a feature at this site? If there is a bridge (even an old one) how would a hiker access it?