How to get client Mac to use caching facility from Mac OS X Server on Yosemite
The Caching service is no web-proxy. It just provides software updates, purchased apps from the Mac App Store, iBooks and iTunes U content.

When you first enable the caching server, it registers its public IP and private IP with Apple.  If a client tries to download a software update or an app from the same public IP as the server, Apple “introduces” the client to the server automatically. Therefore client configuration is not required.

If you want a proxy server install Squid/Squidman