Windows VM proxy aware at provisioning time - powershell

Question

We are currently leveraging a VNet at Azure that is configured to force all traffic over our site-to-site connection to on-premise networks and then out through our corporate firewall. All HTTP/HTTPS traffic is proxied.
This is causing significant issue in that newly-provisioned VMs can not see the outside world to access necessary configuration items like Azure Extensions or even no-proxied internal IPs.
To date, I've created a perverse work-around via PowerShell where I provision the VM, bootstrap it with Chef which overrides the proxy settings in order to get to the Chef server which then configures the proxies.
But, until the user fires up Internet Explorer, it does not set the proxies so that they can be used in PowerShell. Specifically, before IE is fired up, [System.Net.GlobalProxySelection]::Select is empty. Once IE has been started, it is populated.
I also tried preconfiguring an image and sysprep'ing it, but sysprep wipes the proxy settings.
As a final step, I created a PowerShell script which I thought would set the proxies. I was going to use this script via Azure Script Extension (assuming it is on the VM by default), but I can't get it to give me the desired results.
So, my question is, how do I make a Windows 2012 R2 (and Windows 2008 R2) newly provisioned VM proxy aware so that other processes in the provisioning sequence will work (i.e., extensions like the Chef extension)?
Here is the script I created (that doesn't perform as expected):
# See: http://www.geoffchappell.com/notes/windows/ie/firstrun.htm
$regKey = 'HKCU:\\Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings'
$proxyServerToDefine = 'http://<PROXY URI>:<PORT>'
Set-ItemProperty -path $regKey ProxyEnable -value 1
Set-ItemProperty -path $regKey ProxyServer -value $proxyServerToDefine
Set-ItemProperty -path $regKey ProxyOverride -value '137.185.235.196;137.185.235.199'
New-Item -Path 'HKLM:\\Software\\Policies\\Microsoft\\Internet Explorer' -Name 'Main' -Force # Does not exist by default
Set-ItemProperty -Path 'HKLM:\Software\Policies\Microsoft\Internet Explorer\Main' -Name DisableFirstRunCustomize -Value 1
(New-Object System.Net.WebClient).Proxy.Credentials = [System.Net.CredentialCache]::DefaultNetworkCredentials

Answer 1

The trick here was assigning both the HKCU:\Software\Microsoft\Windows\CurrentVersion\Internet Settings AND system account's Internet Settings.
Suggestion: Set your proxy and overrides up once, confirm that it works and then grab the registry values to use in your script.
Here's the list of values I set to make the Users and the System accounts proxy aware:
$userReg = 'HKCU:\\Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings'
Set-ItemProperty -path $userKey ProxyEnable -value 1
Set-ItemProperty -path $userKey ProxyServer -value ''
Set-ItemProperty -path $userKey ProxyOverride -value ''
$sysReg = 'HKU:\\S-1-5-18\\Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings'
Set-ItemProperty -path $sysReg ProxyEnable -value 1
Set-ItemProperty -path $sysReg ProxyServer -value ''
Set-ItemProperty -path $sysReg ProxyOverride -value ''
$sysRegCon = 'HKU:\\S-1-5-18\\Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings\Connections'
$DefaultConnectionSettings = ([byte[](0x46,0x00,...))
$SavedLegacySettings = ([byte[](0x46,0x00,...))
Set-ItemProperty -path $sysRegCon DefaultConnectionSettings -value $DefaultConnectionSettings
Set-ItemProperty -path $sysRegCon SavedLegacySettings -value $SavedLegacySettings
Hope this helps someone else more rapidly down the path...