Trajectory optimization (TO) has proven, over the last decade, to be a versatile and effective framework for robot control. Several numerical solvers have been demonstrated to be fast enough to allow recomputing full-dynamics trajectories for various systems at control time, enabling model predictive control (MPC) of complex robots. These first implementations of MPC in robotics predominantly utilize some differential dynamic programming (DDP) variant for its computational speed and ease of use in constraint-free settings. Nevertheless, many scenarios in robotics call for adding hard constraints in TO problems (e.g., torque limits, obstacle avoidance), which existing solvers, based on DDP, often struggle to handle. Effectively addressing path constraints still poses optimization challenges (e.g., numerical stability, efficiency, accuracy of constraint satisfaction) that we propose to solve by combining advances in numerical optimization with the foundational efficiency of DDP. In this article, we leverage proximal methods for constrained optimization and introduce a DDP-like method to achieve fast, constrained trajectory optimization with an efficient warm-starting strategy particularly suited for MPC applications. Compared to earlier solvers, our approach effectively manages hard constraints without warm-start limitations and exhibits commendable convergence accuracy. Additionally, we leverage the computational efficiency of DDP, enabling real-time resolution of complex problems such as whole-body quadruped locomotion. We provide a complete implementation as part of an open-source and flexible C++ trajectory optimization library called ALIGATOR. These algorithmic contributions are validated through several trajectory planning scenarios from the robotics literature and the real-time whole-body MPC of a quadruped robot.