I came across a computer with a malware infection that had its Internet Explorer proxy settings configured, but I couldn't remove the proxy settings. When I went to internet properties, it said "some settings are managed by system adminsitrator"
This computer was not part of a domain and had nothing set in local policies. The fix was to change the value for ProxySettingsPerUser from 0 to 1 in the registry here:
HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings -> ProxySettingsPerUser
