Hi Vince
Yes, i had that issue using pac files and IE9.
i opened a case with Microsoft Tech support, and after 2 months, they said that there is an IE9 bug, and will be considered on new patch releases. (it was 6 months ago, and i think is not a patch available yet...)
The Microsoft solution was use IE8 (failover works as expected)...and don't upgrade to IE9...
i didn't test it on IE10, i think the issue is the same as IE9, but you should test it with all the patches up to date.