If you get this error when clicking AUTO it could be because:
1. WinHTTP Web Proxy Auto-Discovery Service is not running or enabled.
2. You don't have permission to change proxy settings (your computer may be part of a work domain and your ability to do this has been restricted by admins).
3. A windows update has "broken" the proxy cfg in windows
You won't be able to change IE's proxy settings either.
JMR uses an internal proxy to detected media streamed over HTTPS. This proxy is switched on when you click AUTO and off when you turn it off.
Debug logs show error "ProxyInfo: Error getting proxy information : 12178" (0x2F92)