As a creator of such a program package, you have to think of all users. Clicking to start the proxy has to activate its settings automatically, and closing it, has to deactivate and to clean up its settings automatically, too. Maybe, the user uses other proxies, too.
PS: But I thought of you, too. I knew from the previous beta test that you need to run the proxy at Windows startup. That was the reason I wrote in the documentation about the autostart of ProxHTTPSProxy and its delay! Frankly, I do not use or need this feature, but on the other hand, a working and meaningful feature is worth to implement. I will do that in the next release.