When I connect my Windows Mobile Device to my desktop ActiveSync configures the proxy on the device to match that on the PC.
It is "by design" that PC ActiveSync configures the proxy on the device to match that on the PC. It is not a bug or "problem". It is supposed to do that.
Resolving your Issue:
Now if the ActiveSync setting is "Work" and you have a proxy configured on the device, ActiveSync won't try to overwrite the proxy settings on the device. It will only change them if there are no proxy settings. See KB Article 904667. Also see KB Article 915151.
The confusion stems from the architecture of Windows Mobile. It is designed for one "work" connection and one "Internet" connection. If you have two "work" connections then some manual switching is needed to cover all scenarios.
To stop ActiveSync 4.x running on the desktop PC from provisioning proxy settings to the device simply go to "File", "Connection Settings" and set "This computer is connected to:" to "The Internet" or "Work Network" whatever matches the desktop PCs network configuration. Desktop proxy setting provisioning to the device only executes if this is set to "Automatic".