This is normal for most proxies.
A couple of the commercial ones have a "masquerading" option to have the
cache server masquerade as the client making the request, but depending
on you network layour there is no guarantee that this can be used.
Basically it requires you to have redirection to the cache server on
both sides of the cache server.
Some people have implemeted this in Squid/Linux. I don't know if there
is a patch available somewhere, but I can provide guidance if there is a
programmer who is willing to reinvent the feature.
--
Henrik Nordstrom
Squid hacker