@Martia
It sounds like you are trying to bypass your proxy, but the setting is reverting. Please let me know if I am misunderstanding. Can you let me know which settings.json file you working with and where you found the parameters you mentioned?
One option might be to set Azure Storage Explorer to use environment variables for the proxy. You could then setting the variables to dummy values like outlined in the AzCopy page.
Please let me know if this helps or if you are still facing issues.
-------------------------------
Please don’t forget to "Accept the answer" and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.