My config

location ~ /cached/ {
proxy_pass http://apache;
proxy_cache cache;
proxy_cache_valid 2h;
proxy_cache_key "$host|$request_uri";
}

location /htdocs_internal/ {
internal;
alias $htdocs_path;
}

Requests with header in reply X-Accel-Redirect not cached, every time request is sent to apache. When i add these directives
proxy_pass_header X-Accel-Redirect;
proxy_ignore_headers X-Accel-Redirect;
cache works fine (but is useless :) ), so it isn't problem with "no cache" headers from apache.