I am on 10.8.5, but I have this same issue. I go into Advanced/Proxies, make my changes, click OK, and then click Apply. If I go back into Advances/Proxies, my changes are gone. So, I change them again, click OK, and click Apply.
When I go into Advanced a second time, the changes I made are now displayed.
I'm always changing the proxies. When I activate them, I always have to do it twice. When I turn them off, only once.
I'm guessing you probably tried changing them a second time already, but give it a shot if you didn't.