The Mobility Client has been specifically designed to prevent users from bypassing the Cloud Service.
If the Mobility Client detects one of the following changes to the local computer configuration, it will enter tamper detect mode and the user will be unable to access the Internet:
Explicit proxy settings entered into the Web Browser, including any PAC file
Any entries in the HOSTS file which relate to the threat pulse service (e.g: proxy.threatpulse.com)
This behavior is by design. To bypass this feature, you can re-install the Mobility client from the windows command line, for example:
(where TPE=0 disables the "Tampering Detection" feature)
More information can be found in the online documentation: