Three quick comments (comment #3 answers your question)...
- It seems SBo offers proxychains-ng sourcecode (a fork by rofl0r) yet links the original proxychains homepage. Also, the source file linked by SBo is from a private repo rather than upstream. You might want to contact GPLeo (proxychains maintainer) so he can update the links.
- If you visit proxychains-ng's homepage, you'll notice the current version is 4.6. I recommend you use that.
- As to why you have no configuration file, the slackbuild isn't installing it. To remedy, add the line "make install-config DESTDIR=$PKG" just under make install. It should look like this (line to be added in red):
make install DESTDIR=$PKG
make install-config DESTDIR=$PKG
find $PKG | xargs file | grep -e "executable" -e "shared object" | grep ELF \
| cut -f 1 -d : | xargs strip --strip-unneeded 2> /dev/null || true