@Blessings this is normal behaviour and common across all brands of firewall. Here is an explanation from Sonciwall on why exactly.
Description
The Content Filtering block page is not showed when a website is blocked, instead an error web page is shown by the browser.
The issue happens only when reaching HTTPS Websites and occurs when HTTPS Content Filtering is enabled and DPI-SSL is not implemented.
Cause
HTTPS Content Filtering is IP based, and will not inspect the URL. While HTTP content filtering can perform redirects to enforce authentication or provide a block page, HTTPS filtered pages will be silently blocked.
Resolution
This is an expected behaviour if the DPI-SSL (SSL Inspection) is not enabled.
The Block page always works if the traffic is HTTP while for HTTPS traffic it works only if the DPI-SSL is enabled otherwise the browser will show an error web page.
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