The solution was:
sudo su -
echo 1 > /sys/devices/virtual/net/brx/bridge/multicast_querier
brx was br1 in my case.
To make it permanent:
vi /etc/rc.local
add the echo line before the exit 0.
My mistake was to create an IGMP proxy, which works at IP (layer 3) level. Since I'm using tagged interfaces on both sides and bridging them together I'm creating one big layer 2 domain. The IGMP proxy cannot work in this environment. In my initial troubleshooting session I found that traffic was passing my first VLAN tagged interface and being passed to the bridge interface. Then it stopped, no multicast traffic was passed to the exit interface (which was also part of br1). So I must have been a Linux bridge issue. After a long time looking and troubleshooting, it seems that you had to activate multicast querier functionality on the bridge.
To be honest, I thought that the following command did that (in native EdgeOS CLI style):
set interfaces bridge br1 multicast enable
But I guess not...
