I think this has been discussed before but I will bring it up again. The proxy rules doesn't permit blocking of sites connecting through HTTPS. This is disappointing because a business needs to block employees from accessing certain sites. I don't know why the developers have gone this route but this is not what businesses want.
The other issue with the proxy module is not recognizing FQDNs. So for example I cannot input .ABC.COM so that WWW.FABC.COM is not flagged as a false positive.
Basically the rewrite of the Squid rules is poorly implemented in Zentyal.