There may be two reasons for such behaviour.
The first is that the page is not requested again but got from the cache. This can be only avoided by clearing the cache (see
How to clear the cache when your application hosts a WebBrowser control in Visual C# .NET[
^]).
The second reason might be that the WebBrowser control does not know that the registry has been changed. I don't know a solution for this besides restarting it (that is terminating your application and starting it again). However, it might help to dispose and re-create the browser control.
Note that the internet settings can be also set by code instead of changing the registry directly. See for example
Journey Into Code: C# WebBrowser Control Proxy Authentication[
^].