You need to have your web trafic handled by SME Server's proxy (squid) for the filtering to take effect. When SME is running in server&gateway mode, this can be done automatically for clear text (http) using transparent proxying. No settings needed on the clients. But, if SME is running in serveronly mode, and more generally, for https filtering, this can't be done automatically. You need to configure your clients to explicitely use SME as an http proxy (http://<local sme ip>:3128)
Note that in any case, https is much more limited:
- Filtering is only done on domain name (vs full URL for clear text)
- No nice error message displayed, the page just won't load and the browser will display it's own "Connection refused" error message