This might sound random, but do you have any parental control software installed? Some of those apps use proxies to monitor traffic, and they can trigger the "anonymous proxy detected" warning.
If you do, try disabling it temporarily to see if that fixes the issue. If not, maybe check your router settings—some routers have built-in proxy features that could be causing this.
If you do, try disabling it temporarily to see if that fixes the issue. If not, maybe check your router settings—some routers have built-in proxy features that could be causing this.