So I just installed Android Studio again after a long time and it asked me to configure the proxy, so I did. I tested the connection and it worked.
Then it asked me
Check and review all of these files for having proxy settings:
YOUR_PROJECT_ROOT/App/gradle.properties
~/.gradle/gradle.properties
~/.AndroidStudioX.Y/config/options/proxy.settings.xml
note: replaceX.Y with your current android studio version.
X.Y