I can't post a comment, so I will delete this if it is not useful or it is wrong.
Being projective is preserved under Morita equivalence (as being projective is defined via the morphisms of the category), so as $R$-$\operatorname{Mod}$ is equivalent to $M_n(R)$-$\operatorname{Mod}$, it is equivalent to ask if $\operatorname{Hom}_R(A,R)$ is a projective $R$-module. Then if $A$ is a projective $R$-module, $\operatorname{Hom}_R(\operatorname{Hom}_R(A,R),R) \cong A$ by this post, and so $\operatorname{Hom}_R(\operatorname{Hom}_R(A,R),-)$ would be an exact functor.
Now, $M_n(R)$ is not a simple module (as $M_n(\mathfrak{m})$ is a nontrivial $R$-submodule) so we can't conclude the same way as we could if $R = k$ is a field, but we can consider $M_n(R)\otimes_R R/\mathfrak{m} \cong M_n(R/\mathfrak{m})$. As $\oplus$ and $\otimes$ commute it is easy to see that if $M_n(R)$ is $R$-projective then $M_n(R/\mathfrak{m})$ is $R/\mathfrak{m}$-projective, but the converse is not always true (the usual $R = \mathbb{Z}$, $S = \mathbb{Q}$ and $M = \mathbb{Z}/2\mathbb{Z}$ where $M\otimes_{\mathbb{Z}}\mathbb{Q}$ shows why). The converse is true if $M$ were faithfully flat, so if $A$ is a faithfully-flat $R$-module the result holds. But my understanding of the non-commutative case is too limited to conclude. I hope though that if this chain of reasoning is correct that it may be helpful in answering the question.