Hello: I'm afraid that's not "zentyal " itself can do, as the upstream software for proxy (squid) works as robbsaid
Thus you should not expect Zentyal to do so.
The only solutions id, if you need a particular group of users to have applied two policies, to create a new group/object for this users, and a new policy (being this the sum of the two policies applied)
Based on your example:
Group Basic
Group Social Networking
Group Webmail
Group Online Shopping
Group Shopsocial
Group Shopwebmail
Group Socialwebmail
Group All
Policy Basic can access any website except Social Networking, Webmail and Online Shopping
Policy Social configured as of Basic without Social Networking restrictions
Policy Webmail configured as of Social without Webmail restrictions
Policy Shopping configured as of Social without shopping restrictions
Policy Shopsocial as of Basic without Social Networking, nor shopping restrictions
Policy Shopwebmail as of Basic without webmail, nor shopping restrictions
Policy Socialwebmail as of Basic without webmail, nor social restrictions
Policy All configured as of Basic without Social Networking, nor webmail, nor shopping restrictions
I know this is not as handy as having using acumulative groups permissions, but at leat you will be able to set up the permissions you need