Outlook Anywhere: external users getting internal proxy settings

That's by design. Outlook will show the internal settings but still use the best conection method. That's where you are seeing that yes? In the Outlook client?
From that article snipet:

This behavior is by design. Outlook always displays the internal host name as the proxy server, regardless of where the client connects from

Found the KB without screenshots here, as Andy said, it's by-design behavior of Exchange 2013/2016.
Press CTRL and right-click the Outlook icon in the notification area, click connection status and check if you can get the correct URL there:

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