Yes that's right - when the proxy is on, all web traffic (destination port 80) leaving your ClearOS box has the source IP of your WAN, not LAN IP's. This means it is not possible to create bandwidth rules for *web* traffic on LAN IP addresses. This is the same for all web proxy's.
Think of it in reverse, prioritise the trafic you *want* to get through, not limiting bandwidth for others.
So in your situtation I would create a global rule for web traffic which is limited to say 80% of your max bandwidth - by specifying a lower Ceiling value. Then create your gaming rules with a low rate so that they are not starved of bandwidth when they need it. This works well for me here with torrent traffic and gaming