I run a squid proxy server on some Ubuntu machine. I use a Windows 10 client with Google Chrome to surf anonymously and watch dirty videos.
Both Microsoft browsers and Chrome's proxy settings point to Internet Options of Windows. Firefox has its own settings that lets you configure your proxy only for Firefox.
Many applications (like cmd.exe, WinSCP, putty, mIRC, Node, youtube-dl, ...) ignore the proxy configuration from internet options and connect directly.
If I go to https://api.ipify.org/?format=json in a browser, the IP address in the response is that of my proxy like expected but if I run ipify from the command line (which simply makes a http request to the same url) it shows the client's (my) ip address.
Most applications allow you to configure a proxy but not all of them. To prevent the pain of having to configure proxy settings for every single application and the agony of wrapping, sandboxing or virtualizing those that have no proxy settings I figured we can probably change proxy settings somewhere on the level of operating system.
The configuration here reflects that of internet options. They are the same settings just two screens to edit them.