make sure the proximity sensor is in there straight, the bracket that holds it isn't upside down, the little black piece of half moon shaped tape isn't in the way before replacing it.
Yes, if the proximity sensor is damaged the whole front camera, proximity sensor, earpiece speaker etc. will need to be replaced. they're not terribly expensive though.
Where did you get the screen your replaced, I've seen the paint on the glass cause problems with the prox too. You might can get by with scratching off the UV paint and replacing with black sharpie but I'd be sure the flex isn't the problem first.