Are you sure, that it shouldn't be Dest: HTTP/80
Ops, I made a typo, it should actually be Service: HTTP/80
You also need to block access from Firewall module.
Thank you for the input, but I am not sure if that is correct. I completely deleted my original outgoing firewall rule (the one from my first post) when I implemented the HTTP proxy solution and the clients are not able to access the web.