Do you mean the Automatic, use IE browser proxy settings ?
If so this used to cause no end of issues as that was the default option. For whatever reason avast wasn't able to access these settings then the update would fail, even if you weren't using a proxy and had nothing in the IE settings about using a proxy.
This is only used for the auto update function - I can't see how this is a problem without the Automatic use IE settings. Certainly even if it had this option you would have had to have entered these proxy settings in IE for it to be able to choose them.