Why can't I block connections from clients with the outgoing firewall which pass a proxy?

If a proxy will be used for a certain service (HTTP, POP, SMTP, DNS, ...) firewall rules in the ougoing firewall will take no effect, because of the very proper nature how proxies do work.

Connections from a client will be intercepted by the proxy on Endian Firewall (transparent mode) or go directly to the firewall, but never go through the firewall. The proxy then starts a new connection to the real destination, gets the data and sends it to the client. Those connections always start from the Firewall and not from the client, which hides the clients internal ip address. Such connections never go through the outgoing firewall, since in fact they are local connections.

You can use the network based access control of the respective proxy (if implemented) to block connections of certain clients.