Medical image segmentation commonly relies on U-shaped encoder-decoder architectures such as U-Net, where skip connections preserve fine spatial detail by injecting high-resolution encoder features into the decoder. However, these skip pathways also propagate low-level textures, background clutter, and acquisition noise, allowing irrelevant information to bypass deeper semantic filtering -- an issue that is particularly detrimental in low-contrast clinical imaging. Although attention gates have been introduced to address this limitation, they typically produce dense sigmoid masks that softly reweight features rather than explicitly removing irrelevant activations. We propose ProSMA-UNet (Proximal-Sparse Multi-Scale Attention U-Net), which reformulates skip gating as a decoder-conditioned sparse feature selection problem. ProSMA constructs a multi-scale compatibility field using lightweight depthwise dilated convolutions to capture relevance across local and contextual scales, then enforces explicit sparsity via an $\ell_1$ proximal operator with learnable per-channel thresholds, yielding a closed-form soft-thresholding gate that can remove noisy responses. To further suppress semantically irrelevant channels, ProSMA incorporates decoder-conditioned channel gating driven by global decoder context. Extensive experiments on challenging 2D and 3D benchmarks demonstrate state-of-the-art performance, with particularly large gains ($\approx20$\%) on difficult 3D segmentation tasks. Project page: https://math-ml-x.github.io/ProSMA-UNet/