Help with explaining how the web proxy works

I'm trying to figure out how the web proxy works.

I configured a browser to use SFOSv20-IP:3128

I only want web access through the proxy, no proxy configured, no access.

I've followed the example, with Web policy "Allow All" and Destination networks "Any", found here;

https://docs.sophos.com/nsg/sophos-firewall/20.0/Help/en-us/webhelp/onlinehelp/index.html?contextId=rules-policies-firewall-control-traffic-web-proxy-filtering

There are only two rules, the one above and Drop all.

If the browser is configured to use the proxy it can access sites, if the proxy is off the browser can still access sites, is this normal behavior?

Am I wrong in thinking "Use web proxy instead of DPI engine" would disable the transparent proxy?

If it's still using the transparent proxy, is there a way to prevent that?

Thanks.