Here is another example.
Let $M = N = \mathbb R$ and $f(x) = x, g(x)=-x$. Then
$$F : \mathbb R \times \mathbb R \to \mathbb R, F(t,x) = (1-2t)x$$
is a smooth homotopy from $f$ to $g$. However, there is no proper map $H : [0,1] \times \mathbb R \to \mathbb R$ such that $H_0 = f$ and $H_1 = g$, and this prevents the existence of a proper smooth homotopy $G : \mathbb R \times \mathbb R \to \mathbb R$ from $f$ to $g$.
To see this, assume there is a proper map $H : [0,1] \times \mathbb R \to \mathbb R$ such that $H_0 = f$ and $H_1 = g$, This map has a unique continuous extension $\bar H : X \to Y$ from the one-point compactification $X$ of $[0,1] \times \mathbb R$ to the one-point compactification $Y$ of $\mathbb R$, where $\bar H(\infty) = \infty$. See for example Is one point compactification functorial?
The map $$p : [0,1] \times Y \to X, p(t,\xi) = \begin{cases} \xi & \xi \in \mathbb R \\ \infty & \xi = \infty & \end{cases} $$
is easily seen to be continuous. Hence $\bar H \circ p : [0,1] \times Y \to Y$ is a homotopy.
Stereographic projection $s : S^1 \setminus \{(1,0)\} \to \mathbb R$ from $(1,0)$ to the $y$-axis is a homeomorphism, and it extends to a homeomorphism $\bar s : S^1 \to Y$ such that $\bar s(1,0) = \infty$. This provides a homotopy
$$\phi : [0,1] \times S^1 \xrightarrow{id_{[0,1]} \times \bar s} [0,1] \times Y \xrightarrow{\bar H \circ p} Y \xrightarrow{\bar s^{-1}} S^1$$
such that $\phi_0(a,b) = (a,b)$ and $\phi_1(a,b) = (a,-b)$. But $\phi_0 = id$ has degree $1$ and $\phi_1$ has degree $-1$, thus they cannot be homotopic.