You didn't mention why you consider this a problem?
"Exchange Proxy Settings" doesn't mean what you think it does-- in this context "Exchange Proxy" refers to the gateway that converts between the native Exchange sync protocol and RPC-over-HTTPS. It isn't related to a traditional HTTP proxy server.
In Windows, the IE proxy settings basically are the OS proxy settings. If you'd like to change them, there are many ways. Setproxy.exe from http://bayden.com/other/ is how I do it, but there are tons of alternatives.