I'm not an expert, but my understanding is that when the tyres are moulded they have (in simple terms) a sort of skin from the moulding process.
Drive gently for a while and this will wear through exposing the "proper" rubber.
Once the tyre has gone through a couple of what are called "heat cycles" ...ie. gets warm/hot and then cools, the rubber cures and takes on the characteristics that you are looking for.
It is hardly noticable for Mr.Average in a normal road car, although a good tyre supplier should caution that hard braking might prove interesting.
In cars like the ZX if you haven't been warned it can be quite exciting.
Almost like driving on ice, and far more dramatic in either the cold or the wet.
In tuned versions...even more so !
Panic-not.
Your Proxes (or whatever) will improve to your expectation after just a few trips, but take it easy for a bit.
They are an excellent tyre.
(and even the GP guys, who CAN drive a bit, fall over on new tyres now and again, with all the resources they have)
BD