Proxmox VE does not support Software RAID (mdraid). That means, its not tested in our labs and its not recommended, but its still used by experience users. If you want to run a supported configuration, go for hardware RAID.
If you still want to use software raid, you can create required raid level during Debian installation and then install Proxmox VE. Look at Install Proxmox VE on Debian Squeeze or Install Proxmox VE on Debian Wheezy or Install Proxmox VE on Debian Jessie or external links below.