I compared the behavior of IE and urllib.
I put different addresses to the <proxy bypass list> ("Do not use proxy server for address beginning with" setting), made different requests through IE and urllib and watched if the proxy was bypassed.

IE doesn't even make a forward dns lookup for the hosname given to check whether it should bypass proxy, whereas urllib does.

For example:
proxy_bypass_list       request                          IE bypasses proxy   urllib bypasses proxy
23.253.135.79           https://python.org/              no                  yes
151.101.76.223          https://docs.python.org/         no                  yes
ovinnik.canonical.com   https://ubuntu.com/              no                  yes

compare_ie_urllib.txt - full report