It has written to "man ssh_config" as follows: 

>  Setting the command to ``none'' disables this option entirely. 

It writes to ssh_config as follows:

>  Host *
>    ProxyCommand none

However, "ProxyCommand none" does not effect.
ssh is going to execute the command "none."

> localhost:/home/sasajima% /usr/local/bin/ssh -v localhost
> OpenSSH_3.6.1p2, SSH protocols 1.5/2.0, OpenSSL 0x0090702f
> debug1: Reading configuration data /usr/local/etc/ssh_config
> debug1: Applying options for *
> debug1: Rhosts Authentication disabled, originating port will not be trusted.
> debug1: Executing proxy command: exec none
> 
> debug1: identity file /home/sasajima/.ssh/identity type -1
> debug1: identity file /home/sasajima/.ssh/id_rsa type -1
> debug1: identity file /home/sasajima/.ssh/id_dsa type -1
> /bin/sh: none: not found
> ssh_exchange_identification: Connection closed by remote host
> debug1: Calling cleanup 0x2bcf0(0x0)

Vriable options.proxy_command is not "none" but is "none\n." in ssh.c:605.
It causes that.