Socks proxy keeps getting checked

Boot into Safe mode (hold shift key till you see the Apple logo)

make sure there is not proxy.

Download and run MalwareBytes (the free option)

Safe mode is so only Apple software is running. Then Removing the proxy insures it will not take you to a fake MalwareBytes site.

Hello,

I too have this problem. Research on the internet suggests that a malicious program is setting the proxy. I scanned my Mac (mohave 10.14.6) and could not find any such program. What troubles me is setting the proxy requires Supervisor rights and this program seems to be able to bypass that making the change without requiring me to type my supervisor password. However, I think I have found a solution to the problem. It has to do with the fact that when I use my Mac, I am in fact using it logged in with the user account having the most power over the computer (i.e. the supervisor account). This is not a good practice because if your computer is compromised, the malicious program has complete control over your computer. So I created a new "standard" user on my computer for my use (it does not have supervisor rights). Since I have done this, the proxy issue seems to have disappeared. Now, when you create your standard user account, you should log into your iCloud account from the standard user account (using your AppleID) and anything you store in iCloud will be downloaded to your computer. This could take a while depending on what you store in iCloud. Also, log into iTunes. Once you confirm all is downloaded ok, log into your Mac again using your old Supervisor account and log out of iCloud. You will be prompted to delete all your photos, contacts etc. I said yes in my case and all this was removed from the Supervisor profile. Now I will only log into the Supervisor account only when I have to do a Supervisor task. Otherwise, I will only use the standard account. Go the extra mile by setting a password and desktop picture on your standard account that differs from the Supervisor account. That way, you won't accidentally log into your supervisor account thinking it is your standard account.

Is this a Company computer?

https://apple.stackexchange.com/questions/222593/osx-how-to-override-automatically-enabled-proxy

Is this a company network?

Do you have a firewall that is configured to scan mail messages?

Any add-on anti-malware or anti-virus software installed here?

Any malware installed here?