Amigos.. não sei se funciona pois uso o zentyal 3.5
porém vi no forum americano q dá pra instalar o proxy no 4.1
segue abaixo as linhas
sudo apt-get install zbuildtools build-essential fakeroot dpkg-dev -y
cd ~/Downloads
wget
http://archive.zentyal.org/zentyal/pool/main/z/zentyal-squid/zentyal-squid_4.0.1.tar.gztar -xf zentyal-squid_4.0.1.tar.gz
mv zentyal-squid-4.0.1 zentyal-squid-4.1
cd zentyal-squid-4.1
sed -i '1 i\zentyal-squid (4.1) trusty; urgency=medium\n\n * New release\n\n -- xy <
xy@xy.com> Mon, 29 Jun 2015 00:00:00 +0100\n' ./debian/changelog
sed -i '1 i\4.1\n + Adapted to 4.1' ./ChangeLog
sed -i 's#Depends: zentyal-core (>= 4.0), zentyal-core (<< 4.1),#Depends: zentyal-core (>= 4.1), zentyal-core (<< 4.2),#g' ./debian/control
sed -i 's#my $usersMode = $users->mode();#my $usersMode = $users->_adcMode();#g' ./src/EBox/Squid.pm
dpkg-buildpackage -rfakeroot -b
cd ..
sudo dpkg -i zentyal-squid_4.1_all.deb
sudo apt-get install -f -y
sudo sed -i 's\next if ($pkg->{name} eq '"'"'zentyal-squid'"'"');\#next if ($pkg->{name} eq '"'"'zentyal-squid'"'"');\g' /usr/share/zentyal/templates/software/ebox.mas
sudo service zentyal webadmin restart