I am not currently a sysadmin, but had the SA grant me access to execute both xp_cmdshell and xp_sqlagent_proxy_account.
I successfully executed xp_sqlagent_proxy_account using N'SET' and even did an N'GET' and ensured that the account was in fact set properly.
However, even after executing this, I still get the following when executing xp_cmdshell:
Msg 50001, Level 1, State 50001
xp_cmdshell failed to execute because current security context is not sysadmin and proxy acount is not setup correctly. For more information, refer to Book Online, search for topic related to xp_sqlagent_proxy_account.
Does anyone have any idea why this would still be happening?!