Hi Yuji,
Most of the application running on windows picks the proxy setting from WinNet . and they respect WinINET proxy setting so when you set a proxy setting in IE then it changes in WinINet and other application picks the configuration from WinINET that is why you need to explicitly change the proxy to null in your code
https://blogs.msdn.microsoft.com/ieinternals/2013/10/11/understanding-web-proxy-configuration/
Regards
Devendra