Yes, a Windows 7 laptop appears to work without adding the proxy details and the mobile devices only work when the proxy server is manually added on them.
The proxy server is in the main office and the location of this wireless network is in a remote office, although it is linked by a Virgin Media IP/VPN with a backup link.
At the main location the problem does not occur. We have another Zone Director here (it is older) that works fine, all mobile devices can connect to it and access the internet without any manual config. The overall configuration here is different, at the main office the Zone Director acts as a DHCP server but there is no obvious proxy configured. As it's on the same overall network in this office (the main office) I think DNS is more easily accessible to the main office Zone Director.
The wireless access in the remote office did used to work and we think that perhaps a change has been made and not recorded that has caused this issue (that we think is with DNS).
The IP addresses supplied to any mobile device on that remote wireless network are the same subnet and are from one range. A Windows laptop would get an address from the same range as a mobile device would (in this case 10.31.40.xxx)
On the Zone Director in the remote site we have only configured one wireless network.
I hope that helps.