Currently it does not.
This refers to transparently passing traffic to a web filter, not implementing a web filter.
The following was taken from a post by Manuel Kasper, m0n0wall's author, in a post to the mailing list on October 5, 2004.
I think this is very appropriate, but the reason why it hasn't
happened yet is that nobody has figured out how to do it yet. ;) The
problem always seems to be how to tell the proxy which IP
address/port the user initially tried to connect to. But that may not
even be necessary (HTTP Host header). If a clean solution with
ipfilter/ipnat is possible, that would be cool.
That said, there are now many method for autodiscovery of a proxy that are supported cross platform. You could even use Captive Portal to give proxy instructions...