Was they had installed some other antivirus suite and it has it's own proxy. That proxy can be undone for this and other reasons. I've only encountered it for the first reason.

If you have a stock install, all updated then you report the bug to Microsoft. Remember folk, the Windows OS is not bug free. Some folk didn't know this.

Also, there was a virus that did this. Both on and off....
http://www.tomsguide.com/answers/id-3219542/manual-proxy-settings-turned.html example.