Yes, to me the proxy module in Zentyal 5.0 is not working correctly at all.
Even with the "allow all" option activated the proxy blocks pages, while it should not.
But for me the "acces denied" pages are displayed correctly.
Unfortunately i had so many problems with 5.0,DNS problems,Rule problems (same problem with yours) and so on. That's why downgraded to 4.0.14 and it's working perfectly. I guess 5.X version need lots of update to be stable.
Sometimes I ask myself if the developers actually read these posts 
Couple years ago they did,they were very very helpful to community edition users, but in time Zentyal grow up and they started to make good money from commercial editions and they started to say "naaaah f**k the community edition users,poor b**tards we don't need them" so here we are.
According to my experience 4.0.X is one of the most updated & stable version of Zentyal, i have that version in my usb disk, i'm going to use it for a long time and never gonna buy Zentyal,because i am a poor b**tard and i don't deserve their attention.