If you just installed a Windows Server 2012 or Windows 8 PC on your network and the IE Proxy group policy settings is not being applied it’s because you need to do the following things.
Install a Windows Server 2012 Domain controller on your network which will extend the Active Directory Schema (see article here: http://www.ntweekly.com/?p=3008)
Once you finish step 1 you will need to modify your group policy to include the Metro app IE proxy settings.
To do that open Group Policy Editor and go to:
Computer Configuration -> Administrative Template Policy Definitions -> Network -> Network Isolation