You find that your group policy for IE8 is applied successfully apart from the proxy settings.
I experienced a similar issue and eventually found the issue was due to group policy exceptions.
If any of your proxy exceptions start with http:// https:// www etc, the proxy part will not apply. But Group Policy results will show the policy has applied successfully.
Amend to servername or ip and try again. It should apply successfully. Seems to be an issue with Windows 2008, but works with other Operating Systems.
Or, if you are using a 32 bit version of Internet Explorer on a 64 bit version of Windows – try this link http://support.microsoft.com/kb/952031