I don't know why the observer method of my second bean is invoked through a proxy while the observer method of my third bean is invoked directly.

Observers are always invoked upon contextual instances (i.e. no client proxy), in this case it's probably a "subclass proxy" which is used to implement interceptors/decorators. However, it's really odd that the first bean works despite the fact that it's also intercepted and onStartup() is declared as private.