How can I blocking incoming traffic from the Internet to the Web filter Proxy?

Set the firewall default policy Any->fwall to DROP for more safety and restart the firewall. Then activate the web filter.

The new firewall rules have been released for this exact reason: avoid to have a protector acting as a public proxy. It's in the release notes.

On this unit, the new rules are in place, but the firewall is still running with the old ones. So it should be restarted after validating the new rules.