If you find users can switch off the proxy within Internet Explorer, which you pushed out via Group Policy, there is another policy you can enable to grey out the option preventing them from disabling or configuring.

The setting is called Disable Changing Proxy Settings and is located at:
User Configuration\Administrative Templates\Windows Components\Internet Explorer

Or you could disable the connections tab located at:
User Configuration\Administrative Templates\Windows Components\Internet Explorer\Internet Control Panel
Policy name: Disable the Connections page