I love it when participating in the community pays off.  Barely a week later, we had a neat little applet posted to CodePlex:

Project Description

This little plugin will allow you to switch tfs proxy servers or disable the tfs proxy. It's also possible by installing a webservice to enable the add-in to be automatically configured.

Here in our Raleigh office, the proxy up to the main DevDiv server (hosted in Tukwila) is vital for good performance & saving bandwidth.  Still, as part of developing and testing the product, we are regularly connecting to dozens of random servers.  Needless to say that leads to a lot of TF15013: The requested Team Foundation Server is not registered with the proxy server popups.  Hopefully having a quick way to enable/disable the proxy setting will help.  (The official way is not exactly quick.)