You should check your logfiles again stlony. I put some requests through my WWW Proxy server and got heaps of entries in the WWW Proxy logfile like the one below.
06/01/07 00:09:23 127.0.0.1 Guest 0000000874 Requested:
http://www.wingate.com/index.php
It doesn't have a mac address, that is correct, but I definitely see a source ip and a username there. The user "Guest" requested "http://www.wingate.com/index.php" from the IP address "127.0.0.1".