I've had a weird problem. I use a proxy at work, but not at home. On one of my computers, I could set one of my proxies or change to the other...but I couldn't remove them. It seems that proxy settings are only fully changed if you mange to connect the first time.
Each time I tried to delete the proxy for a direct connection, the text would go away, but it would fail immedately on login, and the logs would show that the proxy was timing out. When the login screen came back, the proxy settings would be back. After weeks of only being online within the proxy...I went to the registry and reset the settings, which worked.
I don't have the logs to show you...but I humbly request an enable/disable proxy button (like IE), so that I don't have to actually erase the entire proxy string every time I'm on a direct connection and retype it at work, and maybe if my problem is more widespread, this will help others.
~M