Hi heper, I never tested load balancing, because in my case I don't want to load balance between 2 physical WANs, I just want to control my traffic, and choose between 1 physical WAN and 1 logical WAN (openvpn connexion through WAN).
So I didn't even try load balancing feature.
However, I think it should work, because in my setup, http traffic after being filtered by squid comes back to pfsense through a network interface, so for pfsense itself it's transparent, like if there was no proxy at all. Instead of coming from LAN, http traffic comes from a DMZ interface, but that's the same thing. So if you're able to configure load balancing correctly without squid, you should be able to make it work the same way with a squid setup on another virtual machine.