This is probably a question better suited to ask Websense directly or to look up in their FAQ. But I'll try to answer it here, but for more info I'd look to Websense since this isn't a direct issue with the PIX unless your users are not getting filtered by the policy.
It's my understanding that with DC Agent and Logon Agent installed, WS looks to Logon Agent first and DC Agent second for its information. Make sure you've got all your DC Agents and Logon Agents configured in the Websense Enterprise Manager otherwise it will not pull information from them. Make sure you've also setup the respective agents correctly.
This page might help you out a little more:
http://www.websense.com/support/knowledgebase/faqs.php
HTH