It appears that the Proxy Server for Software Content Download, configured in the configuration policy, is not shown in the config.xml (located under ..CA\SC\CIC\conf) on the Enterprise Manager.
The Proxy Server is configured in the configuration policy in:
DSM -> Manager -> Software Content Download -> Proxy Server
The comstore on the Enterprise does not show the configured Proxy Server either.
Client Automation - All Versions
The comstore on the Enterprise Manager is managed by the ITCM agent on that machine.
From Client Automation implementation guide:
To support a managed configuration, an enterprise manager must itself be managed.
This requires the installation of an agent. Agents communicate with scalability
servers, which then communicate with domain managers. You must decide which scalability
server and domain manager will manage the enterprise manager computer.
So if there is no agent on the Enterprise or if it is not reporting to an SS, then the configuration policy will not be distributed to that agent.
The following command will show which SS the agent reports to:
In order to configure the agent on the Enterprise Manager to report to particular Scalability Server, run the following command:
caf setserveraddress <address-of-SS>