So I assume you blocked youtube with the L7 firewall rule in the MX firewall? Something like this:L7 Firewall Block
And then in the new group policy you created you selected custom firewall rules:
Allow Youtube Group Policy
And then you applied the policy to the clients like this:
Apply group policy to client
I tested it and it works for me. It only blocks the actual video stream though, the website itself loads fine. During testing I gave it some time to sync the MX configuration and restarted my browser. Sometimes it took a little while to actually start doing what I configured it to do.