In case you have Zscaler App running in Tunnel With Local Proxy mode, and upon launching Cisco AnyConnect receive the error that AnyConnect will not connect through a local proxy, support for local proxy must be enabled on the AnyConnect VPN Profile:
Allow a Local Proxy Connection
Step 1 Open the VPN Profile Editor and choose Preferences (Part 2) from the navigation pane.
Step 2 Select (default) or unselect Allow Local Proxy Connections. Local proxy is disabled by default.