Firstly, sorry to not include the full solution - I didn't fully understand the settings and didn't want to give someone the incorrect information!
Anyway, the registry setting you want to change is located at:
Export the DefaultConnectionSettings using the "File | Export" menu option.
Open it in your favorite text editor, I use Notepad++.
The 9th hex character after the 'hex:' identifier is the one you want to change:
01 = Nothing checked.
09 = Automatically detect settings.
Try the modified key on your local machine first to make sure it works - by checking the LAN settings in IE.
If it works, then open up GP manager and edit or create what ever policy you want to apply this fix too.
Once in Edit mode, use the "New | Registry Item" wizard located at User Configuration | Preferences | Windows Settings | Registry and browse for your registry key you tested locally.
That should be it. Let me know if you have any further questions.