Simple matter of administration of touching every machines registry with regedit!:
Windows is simply the best when it comes to administration tasks. Why just the other day I was thinking, why can't I use regedit on 60 computers that were not running Windows.
When it hit me that I could do anything I needed without touching every computer!
What a concept.
For those of you Winlovers out there, I have researched turning it off in Group Policy, but the "Caching" feature is a locally remembered "feature" of the local install.
Once you hit a proxy for a given site, IE remembers that.