Several things to check,
1. Did you enable authentication on 'Config > Setup'?
- I guess you did as you said you run NxLogon and see username in your log-view.
2. Do you use NxFilter as your only DNS server for your client system?
3. How did you block
facebook.com? By whitelist with 'admin_block' option?
4. What do you get when you use 'nslookup
facebook.com' against your NxFilter?