Some applications ignore proxy settings from the GNU/Linux environment. You could check the environmental settings and the application's settings.
To avoid such problems, many use a "transparent" proxy so that all requests from the LAN to the outside world are routed through Dan's Guardian. Basically, the router redirects all out-bound http requests to your DG.
Another procedure people use is a filtered DNS like openDNS
. See for example, Five Best Content-Filtering Tools
The idea is that all DNS requests are filtered for safe targets. A client can still use an IP address to bypass that but it stops casual users.
On the router, set up something like this
if DG is running on the router.
It gets more complex if you want certain clients unhindered access to the web but it's all done with configuring iptables, squid and Dan's Guardian.