Nope it doesn't. Haven't had this problem before.
Alright. If you don't want to re-install Firefox and risk losing your extensions, you could try creating a new Firefox profile and see if the same problem occurs. A new profile will have all the default settings.
The feature is not available in interface of Firefox, but can be accessed by entering and running:
...in the 'Run' box of the Windows Start Menu.
Your Firefox profile stores personal settings which includes bookmarks, passwords and extensions.
You can also backup your existing Firefox profile by manually copying the Firefox profile folder. Then, you could re-install Firefox, test to see if you can change your proxy settings and then restore your backed up profile afterwards.
Step by step instructions on how to do all of this can be found here:
Firefox Help: How To Manage Profiles