How does this Internet Explorer setting affect AnyConnect?
AnyConnect, like SVC, uses Windows Internet (WinINet) for the pre-tunnel connection. This is the connection that is used to perform the initial authentication and downloading of updates. WinINet is the programmatic interface that Internet Explorer also uses under the covers. WinINet exposes configuration via the options menu in Internet Explorer. One of the items in this menu is to use http:1.1 over proxies. Therefore, when the VPNDownloader connects to the headend to perform validation, it does so via WinINet APIs. This is part of the pre-tunnel operation that occurs. The actual tunnel of data occurs over a separate channel that does not use WinINet, and it is this separate channel that only knows about ProxyIP:ProxyTCPPort. In short, think of the AnyConnect GUI/VPNDownloader and the browser launch as extensions of Internet Explorer for the purposes of negotiating the tunnel connection. However, all tunnel data is done via a separate channel that does not use WinINet.
