Hi, and welcome!
That's odd; I don't understand it either. I've not encountered any problems with the proxy preventing all access on my 3.0 test setup, nor have I seen any indication here of this being a common problem.
So are you actually seeing a block message from the proxy? If so, what exactly is it saying? If not, could there be other factors involved? For instance, does the Zentyal machine itself have Internet access?