Novell ZENworks 10 Configuration Management with Support Pack 2 - 10.2 Policies
During device startup Internet Explorer's proxy settings are removed by the ZCM agent. This is seen when the Group Policy Object is delivered via Active Directory and not through ZENworks policies.
This is fixed in version 10.2.2 - see KB 7004803 "ZENworks 10 Configuration Management 10.2.2 - update information and list of fixes" which can be found at https://www.novell.com/support
When there are no Internet Explorer settings to apply, (in this case because the settings are being applied in a Group Policy via Active Directory), the agent still instructs Windows to apply and refresh the settings: it is at this point that Windows applies the original default settings.