I know this post is old but I wanted to let you know that this is the intended behavior of the lan settings tab. Once you enter the advanced portion the IP you set as the proxy is entered in to the individual "server types". You can recreate this in IE on any version of IE as far back as 7 if not earlier as far as I know. If you clear out all the advanced settings your proxy IP should re-appear in JUST the proxy address. This is NOT a bug.