Internet Explorer must be configured to make proxy settings per user.
This setting controls whether or not the Internet Explorer proxy settings are configured on a per-user or per-machine basis. If you enable this policy, users cannot set user specific proxy settings. They must use the zones created for all users of the computer. If you disable this policy or do not configure it, users of the same computer can establish their own proxy settings. This policy is intended to ensure that proxy settings apply uniformly to the same computer and do not vary from user to user.
How this relates to the STIG checklist: STIG vs SCAP benchmark.