Same thing here. It seems that ZP "caches" internally the last used proxy (from the previous run of the template), although in ZP instance browser window is shown "Without proxy"!
I used V 5.8.0.2 before and all worked. Today I updated to the latest version (V 5.9.3.1) and this failure appeared.
Is there any workaround in the meantime where we can manually "unset" (clear proxy) in project? Tried to add a "Set proxy" step at the beginning where I leave the field for the proxy data empty, that didn't work. Also enter "socks5://0.0.0.0:0" in the "Set proxy" step doesn't fix the problem.