Good, so it shows that from network standpoint and DNs standpoint too, it works well.
This is because, as clients are not aware of parent proxy, they have to revole URLs so DNS works too.
Now let's look at behavior when Zentyal proxy is deployed.
Zentyal proxy by itself works well. It's no more nor less than Squid + Squidguard & Dansguardian. Many of us are using it without any problem. So what's wrong with your settings ?