It sounds like you are trying to use the Web Proxy for a blocklist. I haven't tried using the Web Proxy for this purpose. I have created a few block lists but created a firewall alias which updates periodically and use a floating rule to block that list for all of my internal networks. The blocklist I use for this is a simple text file with IP addresses -- one on each line. (One list is the Spamhaus block list:
https://www.spamhaus.org/drop/drop.txt)
When looking at that list you linked to, it is in a specific format that may only work for Squid and other types of firewall plugins/features that recognize that format. I don't know if the Web Proxy supports blocklists in that format.