Hi,
recently I saw similar issue and the problem was that WPM cannot override proxy settings in IE as you said. We used this troubleshooting:
1. Using mmc console create some test user with same permissions as SEUM-Users have.
2. Run IE under this test user
3. Internet options -> Connections tab -> LAN settings
4. Insert your proxy settings.
5. Save them
6. Restart IE -> Internet options -> Connections tab -> LAN settings and verify that settings are saved
Based on step 6, inform us if settings are saved or not.