I was trying to change the home page policy and the proxy settings for Internet Explorer 11. I had looked at this a couple times but did not resolve the issue. I even started looking toward a registry option when I knew that this had to work. It turns out that is something really stupid, and has been the case for a long time. I just needed to hit the F6 key while the cursor was still on the changed setting. Then, you will see the red line under the setting go from red to green. It turns out that there are few function keys are important so I will note them here.

F5: This will configure and update of the settings.
F6: This will update only the setting you are currently positioned on.
F7: This will ignore only the setting you are currently positioned on.
F8: This will ignore all changes.