Hello,
many thanks for your reply.
With snort service up and Squid down everything was fine. So I was sure the problem was with Squid and some setting.
During the week end i found the problem and I report the solution for any newbie like me.
The problem was in SquidGuard and the standard categories: you have four option per each category, -, allow, deny, whitelist.
I configured all categories with deny or allow. For categories for which you are not interested if you put the - option and populate with deny only the ones you want to block, then everything works fine.
I'm still missing the reason and as a newbie it is still not very clear to me the difference between the - option and the allow.
In other professional appliances, you must put the option allow or by default it is intended as blocked.
As general experience after installing pfsense, what I miss is a comprehensive manual where all options are described and related effects are listed. For the rest, this firewall is great and has nothing less than several professional appliances.