We are having this problem as well, because we cannot turn Zentyal DNS off and leave Zentyal Proxy on.
Some of our client computers have entries in their hosts file so that made-up-domain-name.com points to x.x.x.x external IP address.
Now when the client computer accesses made-up-domain-name.com, the Zentyal proxy passes this to Zentyal DNS, and Zentyal proxy returns an error page to the affected client computer, instead of allowing the connection to go through.
Can we turn off DNS and leave proxy on?
Thank you