When viewing browsing activity from Reporting > History, do many users appear as Anonymous, or show an incorrect username? If so, please go through these steps and verify your settings.

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Open a command prompt on the user machine that is showing as Anonymous (type cmd in the taskbar search field and press Enter).

Type ipconfig/all into the command prompt and press Enter.

In the results, look for DNS Servers. The first entry is the primary DNS server and the second is the secondary DNS server.

To ensure your DNS requests are being explicitly sent to DNS Proxy, both of these IPs must be your DNS Proxy IPs - not forwarders.