True Source IP address

When you say FIP, do you mean the LTM vip, or the real IP address of the LTM? If you aren't using SNAT, then I'm assuming that the websense boxes have their default GW set to the F5s?

If SSL is involved (depending on how the proxy architecture is set up), I've run into the issue before if its passthrough and the LTM can't inject the header since it isn't terminating the SSL transaction and thus can't manipulate the HTTP requests midstream.