Problem solved! What I discovered though was this:
The Scheduler in Advanced Proxy, by default, allows access from Monday to Sunday from 0:00 to 24:00. But that feature is no where near granular enough to be useful.
So I turned my attentiuon to the Time Based Access control feature of the URLFilter. The blacklist would *not* work unless I put in a time based access rule to "Block" "custom- blocked" items. However, as soon as I did, I could not get "proxy" access through IPCop.
After some consideration, what I did was add a Monday to Sunday, 0:00 to 24:00 rule to allow "proxy" for the entire sub-net.
As soon as *that* rule took effect, *then* the URLFilter worked as expected!
I just presumed that overall access was allowed by default - which it appeared to be! (decades of using Microsoft products... ;). But it seems that as soon as a restrictive rule is added to the "time restrictions", there is no such presumption of *any* access. Once such access is explicitly defined, then all apprears to work as expected.
Once you understand this, then it is actually quite powerful because there is no unknown or hard-coded defaults - you really do have *full* control and can set things up *your* way (as opposed to "bill's" way!).
I don't recall reading that in the documentation. Perhaps I missed it.
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