Natalia,
Have you verified the requests actually go to the server instead of the proxy, or only that the CE is doing a DNS lookup. Below is what the documentation states for rules, so it might be important to see what the proxy request looks like.
Michael Voight
CSE
If a rule is configured with a fully qualified domain name (FQDN) and a request is received with the partial domain name in transparent mode, the rule fails to be executed, because the FQDN is not in the request URL. In transparent mode, if a request is destined for a particular domain (for which a domain rule is configured) and does not contain the Host header, the rule pattern match fails.