Do you have either "Automaticially detect settings" or "Use automatic configuration script" checked? I've found that those will cause IE to ignore or overwrite your local ignore settings.

Also, do your proxies access internal sites? Mine do, and the symptoms I would see is that Displayservers home page worked fine, and a few others, but the java applet would never load. That was my only way of knowing if my browser went through the proxy or not.