I am stumped.
Win2k8 R2 domain
WinXP and Win7 PC's
latest IE admx loaded in sysvol
GPO setting to force proxyenable key to 1.
Sophos Anti-virus installed and uninstalled.
All flavors of IE - 8.9,10,11
Setting gets enabled when they login and periodically when the GPO goes through the refresh.
During the day at random times the ProxyEnable registry key flips from 1 to 0. Could be even while you are using IE. One minute your are reading a page, next minute nada.
If you do a gpupdate or wait for the gp refresh it goes back to 1.