And the US Navy. The Houthis have said they deliberately targeted a US Navy destroyer. Again, for Iran there is little risk unless we hold them responsible for the actions of the Houthis.

Even so. They've mostly avoided directly attacking military ships, which vastly lowers the risk of this escalating.

The Iranians do face little risk of retaliation for sponsoring a proxy. That's why nations use proxies for fighting. It allows conflict without a hot war between major powers. The Iranians accept the limitations of what such a conflict can achieve - harassing shipping lanes only to the ability of the Houthis, which is vastly less damaging than if the Iranian navy and air force were attacking vessels directly. But that lowers the costs to them of engaging in it. We do it, too - it's why we support Ukraine but aren't bombing the Russians ourselves.

We could escalate the costs to the Iranians....but only by vastly escalating the costs to ourselves, since that would detonate both the Red Sea and the Gulf. The Iranians sponsor the Houthis just enough that it's not in our interests to hold them responsible for the actions of the Houthis. They keep their support low enough that it would be a mistake for us to escalate the conflict.