Well,
If they use WPAD, the user will be redirected to their proxy servers.
If they do not use WPAD, or any other proxy server, IE will time-out in it's search for a WPAD server, and continue as if the check-box for "Automatically detect settings" was never ticked.
I do not think that you or your users will have problems.
I think using the settings "Use automatic configuration script" and "Use a proxy server for your LAN" are less flexible. Here your users will have to change the settings if they are on another LAN.
WPAD gives the advantage of maintaining just one script for everybody.
If your users come into LANS where "Use automatic configuration script" or "Use a proxy server for your LAN" is used, well, they have to change settings according to advice of the network administrators over there.
When your users are back on your LAN, GPO (or login script) resets the connection settings and you do not have to worry.
Maybe just delete Internet Explorer cache in one or another way, as I have seen bizar results when changing these settings.