Some websites do not work with the MikroTik Proxy in the first place. I think it is a cookies problem, someone reported google mail not working OK and I know some of our Bulgarian clients cant login into their dating sites for example http://aha.bg - through the MT Proxy.
I’ve gone through similar trouble with microSD, check it and see if you have checked every possible cause: http://forum.mikrotik.com/t/web-proxy-cache/27904/1
Basicly you should check these : http://wiki.mikrotik.com/wiki/Image:Proxy_not_caching_with_incompatible_storage.gif and if the cache is OK, probably you can try to rebuld the cache 
Please keep in mind that Web Proxy needs time to rebuild the cache sometimes after it being started… you can see what the Proxy is up to in its settings window in WinBox on the bottom…
When dealing with Proxy storage - first Stop the Proxy - then make changes to the storage …
P.S. another thing that annoys me is that the MT Proxy does not use RAM to further speed up its process.
So soon I am starting to deploy fast ClarkConnect boxes with 1gig ethernet cards that have Squid running.