Whatever the reason may be to enable or disable proxy, here is a simple registry hack to turn it on or off.
Open powershell in admin mode.
Enable:
Set-ItemProperty -Path "Registry::HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings" ProxyEnable -value 1
Disable:
Set-ItemProperty -Path "Registry::HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings" ProxyEnable -value 0
The above method require an IE restart, alternatively if you don’t want to restart IE. Make similar change under:
[HKEY_USERS\<your SID>\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
To find your SID read here.