Had this problem too. The ones that revert to green, actually dont have lists to block by, and so that category is not blocked. Confusing i know, i opened a bug a while ago not sure if anything came of it. as for the lists, i think they are from
http://urlblacklist.com/ but unless you have a subscription, it dont get udpated regularly. Proxys are a hard thing to block as open ones get thrown up and taken down all the time. Tor is a excellent example. Unless you got a bunch of little haxors, i wouldnt sweat it. If you do just make sure port 80 isnt open to anyone, and make sure they all go through your proxy.