Open up the registry to the location in the .reg.
Deliberately change the setting inside it to match the .reg.
Fire up IE and see what you get.
Also you may want to check your group policy settings for 'Make proxy settings per machine rather than per user' - if this is set, it will ALWAYS use whatever the local machine has above and beyond anything the user may have.
We appear to have fixed this now [although it still has me baffled!]
The exceptions we have been using for absolutely ages appears to be the source of the problem.
I was sent a script by an engineer who works at our LEA [they have similar proxy and exceptions to us although not identical] When I ran his script it worked a treat. When I used his script with our exceptions the problem came back. I changed the string of characters which makes up the exceptions list so that it was completely re-written. Still no good.
I eventually decided to change the order that the exceptions were listed in and omit one value. That worked. I will leave it at that and retire hurt from this little skirmish.
At least we are up and running again.