Normally the content filter works reliably so possibly there is a configuration error on your EFW.
For the proxy (transparent or non transparent) you do not need a firewall rule to allow or deny http as this will be handled by the proxy. So make sure that any rule allowing or denying http is disabled (no green tick)
Then make sure that both the 'content filter' and 'web proxy' services are running
Make sure you have a content filter profile defined, proxy > contentfilter (the default is called content1)
Edit the content1 profile and under 'custom black and whitelists' enter the domain in the 'block the following sites' box e.g. facebook.com
update the profile and apply the settings
Now check you have an access policy for this content filter profile, proxy > access policy, you should have a policy at position 1 like the following;
source type : zone
select source zone : green, orange, blue
destination type : any
access policy : allow access
filter profile : default profile (content1)
enable policy rule
position : first position
create policy and apply the settings
This should now block all access to
http://www.facebook.comYou can check the proxy and content filter live logs to make sure you can see the proxy and content filter working
Hope this helps