What do you mean by "I do not see same leaf on Windows 2012 R2 server."? That you don't have that Group Policy setting available? I checked it on my Windows 2012 R2 with IE11 and I can see that setting there.
Are you using domain accounts form WPM? There is a known issue with proxy settings for transactions on Windows 2012 for which we have a hotfix prepared. You should see it on your Customer Portal, it's Hotfix 3.