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There are a couple ways Protect uses a proxy. It is defined in the Tools > Options > Proxy, and also from what it finds by defualt in the Windows internet options in the control panel. If the values defined in the Internet Options are not retaining, there very well could be a Group Policy that is keeping the existing values in place. I would validate with your system administrator that a GPO is not in control of the Internet Options, and also set the Proxy information in the Protect application directly.
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