Once Insight is enabled, any changes to external proxy configuration will not take effect.
Instead of directly using the runtime configuration, the Insight component makes its own local copy of the runtime configuration during its initialization. In current design there is no mechanism in place to signal to the Insight component to reload the configuration when changes are made, so the new configuration will only take effect when Insight is restarted.
Upgrade software of SWG appliance to version 5.2.1. Until you are able to upgrade, as a workaround, once you remove External Proxy settings, restart the SWG appliance to make the change effective for Insight component.