If I understand correctly, you are creating a group policy in the dashboard and then applying it to a client in the dashboard. Is that correct?
Are you doing this for a WiFi or wired user? If a WiFi user, is the SSID in bridge mode? If you are trying to create custom content filtering (which is done on the MX) then the MX will need to be able to see the actual machine (so the SSID would need to be in bridged mode).
Most of the configuration settings don't take effect immediately. They take effect on new flows. If this is a WiFi user, you can disconnect and then re-connect to WiFi.
If the issue is with content filtering you could consider enabling "Full List" under the content category list.