IE9 proxy server settings not applying

I've created a group policy on a Server 2012 R2 primary domain controller.

The policy configures the IE9 proxy server settings through 

User Configuration > Preferences > Control Panel Settings > Internet Settings > Internet Explorer 8 and 9 > Security > Connections ... I press F5 to enable the settings 

The policy is downloaded but never applied even though Group Policy Results show that the Winning GPO is the one I have configured.

Anyone got any ideas?