Hi,
I had the same problem as yours.
I have one pfSense box as my firewall/gateway, and I have another pfSense box as a proxy/filter. Both are Hyper-V VMs.
The proxy box had only one WAN interface, and I did not manage to change the configuration in SquidGuard to take the IP of that interface instead of the localhost IP.
I solved the problem adding a private network between my Firewall pfs and the Proxy pfs. With both LAN and WAN, SquidGuard take the correct IP of my Proxy box.