bill001g :
This feature should work as advertised assuming the router is the DNS and it is filtering DNS calls. It could be as simple as a cached DNS entry in the PC from before the security is set.
I really don't know how this router is working. I tend to not even bother looking at features other than setting fixed IP filters since it not hard to bypass almost any consumer firewall. Where I work we tend to use proxy servers rather than firewall because it is much harder to cheat. Even the HTTPS trick with a local host file does not work since you must pass the actual url to the proxy.
More good info.
So, the OP needs to consider flushing the DNS on each client and ensuring no fixed DNS are assigned (use the router for all networking assignments via DHCP. Also, you are suggesting to block IPs vice domains. Is that correct?