I can't be sure in your specific instance, and I haven't run into it in a long time, but it may be related to AutoProxyResultCache.
Then again, it may not. But it's worth exploring.
Automatic proxy caching in Internet Explorer
Internet Explorer always uses the proxy server through which the first connection to a specific host name is made, regardless of the settings in the PAC file. If the response from the destination web site has port 9999 included code within the contents, or a transparent authentication does a redirect to 9094, subsequent requests for that site attempt to use that alternate port instead of the proxy port of 9090.
When this condition occurs, the user sees symptoms of broken pages with graphics and style sheets not being loaded and error messages that say "Invalid Proxy Request". Other browsers do not exhibit these symptoms.
This condition can be corrected by turning off the automatic proxy caching feature in IE. This is controlled by a registry entry of:
Data value: 0 = disable caching; 1 (or key not present) = enable automatic proxy caching (this is the default behavior)
More information can be found here:
Brilliant! Worked like a charm. Much appreciated