proxy-uri | Helper to generate/parse Shadowsocks/HTTP URI | Proxy library

CoAP messages are typically limited by the application's buffer in size, and practically limited to one MTU (as IP fragmentation is rarely used together with CoAP). Unlike the message's payload, an option can not be split across multiple messages using block-wise transfer. On the Zephyr side, the error went unnoticed because you discarded the coap_packet_append_option result code.

For the concrete case of this URI, you can work around the limitation using a larger message buffer (how that is done depends on how you initialized request in the first place).

Note that transporting a JWT in the URI for authentication purposes is not how authentication is typically done in CoAP applications. If your HTTP server accepts TLS client certificates instead of CWTs, you may consider provisioning the proxy with a suitable client certificate (to be used when the CoAP client is authenticated properly, eg. using DTLS or OSCORE), and then use only the almost reasonably sized token-less path.

[edit after question clarification]

The lack of errors indicates a flaw in the Zephyr code, either Zephyr itself or the concrete network interface used (which should not silently truncate outgoing messages without letting the OS know), and would best be addressed inside the Zephyr issue tracker.