It seems that when I switch the HTTP Proxy to transparent it blocks everything, when it is not transparent it blocks nothing.
¿Are you sure you have the correct config in both users and firewall?
With Not transparent you also must configure your clients to use the proxy to <<EFW IP>>:8080. In this mode the default settings allow any traffic via HTTP (port 80). To avoid that ppl use the default port 80, you must remove the rule on Outgoing firewall.
With transparent one, you don't need to change anything on clients. In this case the outgoing firewall rule for HTTP isn't fired (the HTTP traffic goes thru HTTP Proxy)