I think you are likely getting stuck at how Computer and User settings are applied. The major distinction is Computer settings are those settings that don't require a user profile to take affect. Pay particular attention to that. Proxy settings are a USER setting. Each user can have a different proxy value on the same PC.
Another way to distinguish this is to know where the GPO setting affects the registry. In the case of the proxy setting it is
HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer
and
HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyEnable.
As you can see, those keys are each for CurrentUser.
So if you are applying the policy to a Computer, it won't take affect.
I hope you find this post helpful.
Regards,
Mark
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