As described in documentation (even on-line doc), load-balancing doesn't work for proxy deployed on pfSense itself.
Reason is that fail-over and load-balancing rely on "GW group" that is configured as "policy routing" for FW rules, meaning then "per interface".
If you define, e.g. one "HAGW" group and use it for FW rules defined for LAN, this will not be used by HTTP proxy running locally thus not using LAN.