Linked objects can only be altered in the original file, that's the point of them being proxied.
When you Link and object (⎈ Ctrl⎇ AltO) you can make a local copy. However this won't work unless you make your Linked Group local.
When you proxy the object ⎈ Ctrl⎇ AltP from a linked group ⎈ Ctrl⎇ AltO, it simply creates a duplicate, which change the object level properties (like Transformation, Delta Transformation, etc).
The original oject is still in the Linked Group.
If you wish to change your geometry you have to make a local copy by clicking the copy number in the object data section. Editing this copy will however not change the group object.
This copy could also have simply been appended to the current file ⇧ ShiftF1.