Thigns have changed as of ESPHome version 2022.9.3 and HA 2022.10.x
Now BLE Proxy does support Active connections. Unfortunately SOME locks still won’t work (looking at Yale Access integration with August locks grrrr.) but a lot of active products such as MiFlora battery sensor, a lot of light globes and a lot of switchbot items will now work with BLE Proxy.
If you ahev an ESPHome evice you just add
bluetooth_proxy:
active: true
If you built a dedicated BLE Proxy using the script on the website, it will automatically update to the Active true status as far as I know.