Hey Aria,
Can you provide some more details regarding the policy-setting? As stated by Richard, this doesn't seem to be included within the ADMX's.
Additionally, the GPO being referred to is one also being managed through Configuration/EndPoint Manager.. Setting the GPO 'll cause 2 management systems in trying to define the setting on the managed workstation/device.
Last but not least: The link provided (https://docs.microsoft.com/en-us/windows/client-management/mdm/policy-csp-update#update-allowupdateservice) does not refer to any sub-section "https://docs.microsoft.com/windows/client-management/mdm/policy-csp-update#update-allowupdateservice"
Can you provide an updated location, that includes the "SetProxyBehaviourForUpdateDetection"?
Grtz