Because I could not find anything on Google or here, I just wanted to let you know, I found a bug in AnyConnect 4.10.07062 for Windows.
When the windows service WinHttpAutoProxySvc is disabled, the client cannot be used, because it cannot set the proxy setting.
This is the server log message:
%ASA-svc-5-722010: Group <DfltGrpPolicy> User <username> IP <1.2.3.4> SVC Message: 16/ERROR: Unable to apply proxy settings that are received from the secure gateway
Usually the service is running and there should not be an issue.
If the service is disabled you can enable it by setting the following registry value from "4" back to "3".
[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WinHttpAutoProxySvc]
"Start"=dword:00000003
I guess this bug was introduced after Cisco tried to solve another proxy-settings-related bug present in 4.10.07061.
I informed the TAC.
