This is by design, don't be confused, it works normally:

Also I would recommend reconsidering using Internet Explorer, when you change its proxy settings it amends system-wide proxy configuration, the same applies to certificates storage. To keep your system clean it's better to use the browser which has separate proxy/certificates configuration like Mozilla Firefox. If you need to mimic IE or any other browser it will be enough to send the relevant User-Agent string via HTTP Header Manager
Also be aware of alternative way of recording a JMeter test: JMeter Chrome Extension, in this case you won't have to worry about proxies and certificates.