Frankly, Zentyal won't provide "out of the box" such information without any additional piece of software aiming to build report (as I understand this is what this request targets)
Furthermore, I don't understand what group policy brings here. Could you please elaborate as I may have missed something in term of understanding.
To me, question is not related to Zentyal (once you understand there is no such "reporting tool" embedded in Zentyal) but to Squid.
Search and install your preferred Squid reporting tool (Calamaris, Sarge, whatever) and install it on top of Zentyal. That's it