When watermarking your photos, the word PROOF only appears to guests. (Account owners would not want to see PROOF on their photos all the time.)
To assure yourself that the watermark is appearing, sign out of your dotPhoto account, open a new browser, and look at your account as a guest.
If you are setting up a web site, you can see your site by substituting your login name for "www" like this:
If you have a guest password, sign in as a guest here: https://www.dotphoto.com/signin.asp