I don't think you going to like the answer, but here goes (grin). There is no correct answer, all solutions are valid.
- Not all proxy servers work for every technology, (In particular, Microsoft proxy product has a very poor reputation in real life even after its recent revision) and sometimes you want to bypass the proxy for a given website. Typically, this is when a new technology comes along which the proxy cannot support. If you bypass the proxy, you may bypass the WebSense filtering.
- Don't overload your servers. You want to spread your load around. The firewall should be dedicated to task and adding Websense would be a natural relationship.
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