it sounds perhaps stupid, but did you put the right proxy settings into your brouwser.
SME also is a NAT router, if you did not disable that you can brouwse the internet without proxy settings without being filtered.
also SME has an internal Proxy server. even if you configured that it will not filter.
As far as i know you need the ip adres of your server as proxy server and port 8080 as proxy port
For internet explorer:
go to tools
internet options
click on the tab connection
click on the button lan settings
checkmark the use proxy.....
fill in the info as above.
Click all ok, to be sure restart your brouwser.
now test it.
(sorry if you did already)