Network proxy settings is ignored.

I need a proxy for some content filtering enabled on my computer, so I've setup a proxy in Network preferences. It works for a while but after some time safari and chrome and other software using system proxy settings, ignores it.

Even when I turn my local proxy software, the web browsing works, although I'd expect the connection to fail when the proxy is down, so this means system ignores the settings.

When I reboot the Mac, it works again and after a while it ignores it again and so on and on.

I have macOS Mojave 10.14.2 (18C54).

Here's my network settings. I tried to set it up on thunderbolt ethernet as well and it behaves the same.

Could anyone give me a hint how to debug the issue? Where to look why the settings is ignored?

When I use networksetup util, it looks like it's ok as well.

$ networksetup -getsecurewebproxy "Wi-Fi"
Enabled: Yes
Server: 127.0.0.1
Port: 9999
Authenticated Proxy Enabled: 0

EDIT:

So I've found out this happens when my VPN connection is up (I use openfortivpn), although it's not used as default route, but when the VPN is up, safari ignores network proxy settings.