I have the exact same problem, tried it with 2 routers, i can try it on more, but i am sure it is a routeros bug.
This is my post with this problem, but no one answered on it
http://forum.mikrotik.com/t/web-proxy-problem/65327/1
I also tried it with a virtualpc image and it is exactly the same. It is a routeros bug for sure.
This problem has been going on for some time now for sure, any chance of a fix for it? We have some clients who would like to use it but we keep it disabled or else they will have problems.