The wire ghost stays there when you change the sub D attributes before exiting poly proxy mode. Use undo's to go back before you did the modification and go to standard mode.
Mental ray will render sub D's only when you collapse the geometry of the Sub D surface. Use >Sub Divisions >Colapse Geometry to colapse the Geometry.
And after calming me down with some orange slices and some fetal spooning,
E.T. revealed to me his singular purpose.
--TOOL, 10,000 Days---