This was "branched" from Odd timing issue on IE10 (maybe others) but now I have more data.
If I go into a site via a shortcut, link from another site or direct from the IE address bar, the site fails. looking at the Fiddler results, nothing seems to go via the proxy, (REmoving the proxy requirement works, but not a solution as it is requiired for user control)
REFRESHING after the first load, in other words using the browser refresh button works.
As does clearing the cache before going in from external link
WTF is going on?