Software RAID is an alternative for using hardware-RAID controller for local storage. Please note that Proxmox VE currently only supports one technology for local software defined RAID storage: ZFS
If you want to run a supported configuration, using a proven enterprise storage technology, with data integrity checks and auto-repair capabilities ZFS is the right choice.
See the ZFS on Linux article for more information.
btrfs can actually be a very safe and functional choice, but not yet supported by Proxmox VE. It will be re-evaluated for Proxmox VE 7.0.
mdraid has zero checks for bitrot, data integrity, and most filesystems on top do not provide that either.
That means, if some data gets corrupted, which happens on any long-running system sooner or later, and you normally do not notice until it's too late. So, Proxmox projects do not support it to avoid that users run into these problems!
For non-production/unsupported setups, where you still want to use mdraid (please don't!), you can create the required RAID level during Debian installation and then install Proxmox VE or create RAID after install Proxmox VE. Look at the following pages:
If you need further assistance for md-raid, it's another good sign that you do not want to choose that technology.