"We configured our test virtual machine to use an HTTP and HTTPS proxy (both as a user-level proxy and a system-wide proxy) so that we could more easily monitor its traffic, but Windows 10 seems to make requests to a content delivery network that bypass the proxy."
http://arstechnica.com/information-technology/2015/08/even-w...
The most interesting part:
"We configured our test virtual machine to use an HTTP and HTTPS proxy (both as a user-level proxy and a system-wide proxy) so that we could more easily monitor its traffic, but Windows 10 seems to make requests to a content delivery network that bypass the proxy."