I've had a couple of co-workers that noticed their "get" calls to sync their workspaces running a bit slower - while it's running, the thing I find easiest is to scan for port 8081 traffic, since that's the port the VC proxy tends to run on.  There's lots of apps that could do this, I just pick netstat since it's in-box.

This hit a couple people because that had configured their proxy with the Whidbey client, so the registry values were fine under the 8.0 key, but they hadn't configured it with the Orcas client, so there was nothing under the 9.0 key.

# netstat -n | findstr 8081
  TCP    157.57.120.66:59133    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59134    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59135    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59139    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59140    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59141    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59142    157.57.120.95:8081     ESTABLISHED
  TCP    157.57.120.66:59143    157.57.120.95:8081     ESTABLISHED

Quick way to scan both keys (you could query the HKLM versions as well):

reg query HKCU\Software\Microsoft\VisualStudio\8.0\TeamFoundation\SourceControl\Proxy 
reg query HKCU\Software\Microsoft\VisualStudio\9.0\TeamFoundation\SourceControl\Proxy