I have the same problem and I have tried "gsettings set "org.gnome.system.proxy.http" enabled false" without success.

OS: Ubuntu 11.04 64 bit

indicator-weather.log output:
[MainThread] 2011-06-09 07:52:37,957 - INFO - ------------------------------
[MainThread] 2011-06-09 07:52:37,957 - INFO - Started Weather Indicator from /usr
[MainThread] 2011-06-09 07:52:37,957 - INFO - Weather Indicator version 11.05.31 'Cloudy 8'
[MainThread] 2011-06-09 07:52:37,957 - DEBUG - SingleInstance: writing new pid 24060
[MainThread] 2011-06-09 07:52:37,969 - DEBUG - ProxyMonitor: loading gconf settings
[MainThread] 2011-06-09 07:52:37,969 - ERROR - ProxyMonitor: empty proxy host!
[MainThread] 2011-06-09 07:52:37,970 - DEBUG - ProxyMonitor: using direct connection
[MainThread] 2011-06-09 07:52:37,970 - DEBUG - TimeFormatter: loading indicator-datetime settings: com.canonical.indicator.datetime
[MainThread] 2011-06-09 07:52:37,971 - DEBUG - Time Formatter: time format changed
[MainThread] 2011-06-09 07:52:37,971 - DEBUG - Indicator: creating
[MainThread] 2011-06-09 07:52:37,974 - INFO - Monitoring UPower interface
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Indicator: reading settings
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: preparing settings store
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for refresh_rate
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for unit
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for notif
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for wind
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for data_source
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for placechosen
[MainThread] 2011-06-09 07:52:37,975 - DEBUG - Settings: getting value for places
[MainThread] 2011-06-09 07:52:37,976 - DEBUG - Settings: getting value for show_label
[MainThread] 2011-06-09 07:52:37,976 - DEBUG - Preferences: got settings: rate=5, unit=S, notif=N, wind=mps, placechosen=0, places=[]
[MainThread] 2011-06-09 07:52:37,976 - DEBUG - Indicator: could not parse places
[MainThread] 2011-06-09 07:52:37,976 - DEBUG - Indicator: making a menu for no places
[MainThread] 2011-06-09 07:52:47,801 - DEBUG - Indicator: open Preferences
[MainThread] 2011-06-09 07:52:47,802 - DEBUG - Preferences: creating
[MainThread] 2011-06-09 07:52:47,816 - DEBUG - Preferences: finishing initialization
[MainThread] 2011-06-09 07:52:47,816 - DEBUG - Preferences: got settings: unit=S, notif=N, wind=mps, rate=5, source=Y
[MainThread] 2011-06-09 07:52:47,817 - DEBUG - Preferences: Loading places
[MainThread] 2011-06-09 07:52:53,499 - DEBUG - Preferences: Add location clicked
[MainThread] 2011-06-09 07:52:53,499 - DEBUG - Assistant: creating new Assistance instance
[MainThread] 2011-06-09 07:52:53,504 - DEBUG - Assistant: finishing initialization
[MainThread] 2011-06-09 07:52:53,504 - DEBUG - Assistant: setting up location combobox
[MainThread] 2011-06-09 07:52:53,517 - DEBUG - Assistant: moved to page 0
[MainThread] 2011-06-09 07:52:53,517 - DEBUG - Assistant: moved to page 1
[MainThread] 2011-06-09 07:52:53,517 - DEBUG - Assistant: moved to page 1
[MainThread] 2011-06-09 07:53:09,035 - DEBUG - Assistant: looking for location 'Gothenburg, Sweden'
[MainThread] 2011-06-09 07:56:18,466 - ERROR - Assistant: error reaching url 'http://api.geonames.org/searchJSON?q=Gothenburg%2C%20Sweden&featureClass=P&maxRows=10&lang=en&username=indicatorweather'