It isn't with me. In fact, I can't even set it in Control Panel > Internet Options. I have to go to the Settings app > Network & Internet > Proxy. Maybe either the script or the proxy address is filled there? Then remove it.
If that doesn't fix it, does it appear also if you boot into Safe Mode? In Windows 10 that needs to be done differently than in previous versions, where it was pressing f8. I leave it to you to google the way you find most convenient.
If it doesn't happen in Safe Mode, it most likely is some program run automatically at startup. Until you found which one (if Task Manager and services.msc don't help, try Sysinternals Autoruns) the obvious work around is to use hibernate in stead of shutdown. It's somewhat faster, but - most important - all settings stay what they are, since there is no shutdown.