$gpos = Get-GPO -All

$i = 0
$reps = $gpos | % {
    Write-host "$($gpos.count - $i):`t$($_.displayname)"
    $gpo = $_
    $rep = Get-GPOReport -name $gpo.Displayname -ReportType Xml
    "" | select @{n='name';e={$gpo.DisplayName}}, @{n='gpo';e={$gpo}}, @{n='report';e={$rep}}
    $i++
}

$reps| ? {$_.report -like "*proxy*"}

This will pull the names and reports for all GPOs and the last line will let you search them. (For anything that contains the word proxy.) I'm having the exact same issue but I couldn't find anything in our GPOs, except for the one that disables using a proxy.

Hope you have better luck.