You cannot delete your previous default gateway when you reconfigure your existing ProxySG for different network segment. To delete a previous default gateway, the IP address of the previous default gateway must be the same as the NIC IP address.
In order to modify or delete previous default gateway and configure the ProxySG appliance for the current network:
It is also possible to remove the old gateway by previously changing an interface that you are not using. This should be a safer method as it doesn't tamper with any existing configuration. If this is the case, the steps are as follows: