I know this is an old post but I've been looking for answer to this so I'm putting what I've found here for the next person.

Wish I could give a better answer but a couple of options.

1) someone posted that logging in as admin

2) CREATE CREDENTIAL ##xp_cmdshell_proxy_account## WITH IDENTITY = 'domain account',secret = 'password'

Option two worked for me. As the time of this post I didn't mess with trying option 1 since the login I'm using has sysadmin role.

This will remove the credential...

EXEC sp_xp_cmdshell_proxy_account null

This will show a list of credentials on server

select *

fromsys.credentials

This will show the config options for the server (the last entry for me was the xp_cmdshell)

SELECT * FROM sys.configurations

ORDER BY name

Good luck