It's time to try the built-in cache proxy plug-in of WMS9.5. If you already developed custom proxy cache plug-in for WMS9.1, you also can install it on WMS9.5 and the plug-in should be working fine as well. But you might want to test whether the own plug-in can conflict with the built-in plug-in if you enable both of them.
The plug-in can be enabled from WMS9.5 admin MMC / root node (machine name) / Properties / Cache Proxy Management / WMS Cache Proxy:
Double click the plug-in, its property window will show up. In general tab page, you can check the status of the plug-in and type of the plug-in is acting. It could be a standard proxy, proxy redirect and reverse proxy.
You can find the details of every type of proxy from Platform 2003 SDK, for example: Implement Reverse Proxy
In the cache tab page, you can set caching speed. Set it to maximum available bandwidth if you don't have any concern about it. In case you want to manually set a value, just don't set it too small.
In proxy tab page, you can set the type of the cache proxy and the content server/alternate proxy's location. Currently, the plug-in only support one server.
If you want the plug-in starts the streaming content rather than first downloading it, you might want to configure it in prestuff tab page. It can prestuff from stream or file.
In order to test the plug-in, you should prepare another WMS machine which acts as content server or alternative proxy. Make the WMS 9.5's proxy plug-in point to that server. Create a publishing point named proxytest on the content server, the client machine, open Windows Media Player to access mms://proxyserver/proxytest. If you configured everything correctly in the proxy plug-in, it will download proxytest's content from the content server automatically when the first time you access the link. If you configured prestuff in the plug-in, the plug-in should download it itself even if you don't access the link.
To sum up, your old proxy cache plug-in which was developed for WMS 9 should still be able to be installed on WMS9.5 but you should test it to check whether it will conflict with WMS9.5's. Every features of the built-in proxy plug-in of WMS9.5 should be very easy to use if you have already known and used WMS9's proxy plug-in programming model. I strongly recommend you to read related documents in platform SDK to better understand how does proxy plug-in work.