This is indeed the case – we’re using the Windows / Internet Explorer configuration for proxy. Are you saying that you’re in a situation where you do not have a configuration for Windows, and require each application to manually configure the proxy?
In some case (At work) we have 2 proxy. Windows / Internet Explorer proxy is default configured with the proxy that allow access only to our internal network (Internal web site and tools) and for external internet, we have a Firefox configured with the other proxy.
With the GPO, we can’t change proxy settings, so the possibility to set a proxy configuration directly on the program is important.