I'm not familiar with 3.0 and can't help further.
HTTP proxy in 3.0 offer more capability and flexibility in term of filtering, indeed, but there is no technical documentation thus I'm almost blind with what happens under the hood as I don't want to do any reverse engineering with this version.
What you did looks ok. What you could check looking at guardianship and squid is whether filtering is done relying on same process for all filtering features. Is content filtering always done by Dansguadian (first point) and is it confirmed that when you import or create such list, it impact "content filtering" or is it rather URL filtering which might be done by Squid itself, therefore no category or different "error" page.
Or wait for someone having investigated this deeper