I discovered a pretty clean solution for this issue. In the ACS Authorization Profile, I enabled Radius Attributes for setting the following:
IE-Proxy-Server-Policy (4 - Use settings from concentrator)
IE-Proxy-Server (x.x.x.x:port)
This was the minimum required to enable the proxy
The following also worked:
IE-Proxy-Server-Bypass-Local
IE-Proxy-Server-Exception-List
This is a very clean solution for configuring your Windows Clients. Not sure about MAC clients, I don't have one to test.
Thanks,
David