Have cleaned a number of computers with this pest using the Bleeping Computer guide. Had one today that showed no tick for the proxy server. Rkill downloaded but wouldn't run properly. Could not download Malwarebytes. Decided to try (I think, Buteman's suggestion) of Hitman Pro Free. That worked, and showed IE was working through a proxy server.
So, why did that proxy server tick not show up when I first looked?
Perhaps nothing at all to do with this question, and perhaps apologies for mentioning it. But IE is going through some changes at present. IE9 is now apparently available, having just had a beta run. All the other IE's might be losing support?.
I also noticed the same on a few I was cleaning, but I also noticed that, while the "Use A Proxy...." option wasn't ticked, the "Bypass proxy server...." option was ticked (but greyed out). I then ticked the main "Use A Proxy...." option, which allowed me to untick the greyed out "Bypass proxy server...." option. That seemed to cure the problem on the machines I was cleaning. I had come to the same conclusion as Sea Urchin in that the malware is getting more sophisticated/sneaky.