This must be a wrong configuration in your system.
Cryptomator creates a server on your local machine in order to provide the content of your vault. This server does not communicate with the internet, it is only there because Cryptomator uses a standard accessing directories (WebDAV).
It does not change your windows settings, therefore your windows is configured in some way to use
localhost (this is the standard address for servers hosted on the local machine) as a proxy. Maybe some other program you installed over the time needed such a reroute of your internet traffic to some localhost server.