cannot open database file "zabbix_proxy": [2] No such file or directory

[N0b0dy1985]

Hi, I'm trying to set up a Zabbix proxy on a remote OPNsense machine. The Zabbix server shows that the proxy has never connected. Looking in the proxy log files on the OPNsense box, I see

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92056:20240423:144220.197 using configuration file: /usr/local/etc/zabbix64/zabbix_proxy.conf
92056:20240423:144220.198 cannot open database file "zabbix_proxy": [2] No such file or directory
92056:20240423:144220.198 creating database ...
92056:20240423:144220.198 [Z3002] cannot create database 'zabbix_proxy': [0] unable to open database file
92056:20240423:144220.198 cannot initialize database: cannot open database

When configuring the proxy, I wasn't prompted to configure a database, and I assumed the proxy configuration was doing that behind the scenes. What am I missing here?