Yes, it does. Demand is very different from density. The fact that one region happens to have both high density and high demand is coincidence, not correlation. For it to be a correlation, that would have to be the case in most places. Places like Mountain View, Palo Alto or even Beverly Hills and Malibu also have high demand with a much lower population density.
Also, while it's trite to say, correlation doesn't not mean causation. Being a proxy means a causal relationship, not just a correlation. XKCD was arguing against maps that indicate a causal relationship. Each of the graphs in the comic don't just correlate with population density maps, they're the same because they're visualizing a trait that has no difference based on geography. That's in no way the case in this situation.
Also, while it's trite to say, correlation doesn't not mean causation. Being a proxy means a causal relationship, not just a correlation. XKCD was arguing against maps that indicate a causal relationship. Each of the graphs in the comic don't just correlate with population density maps, they're the same because they're visualizing a trait that has no difference based on geography. That's in no way the case in this situation.