SWG not blocking sites via Internet Explorer

Here is my configuration

SWG Virtual Edition

Operating Mode: Proxy

Database: 5.0.0.1288

Software: 5.2.2.118

Client: Windows Server 2012 R1 with FireFox and Internet Explorer 11

I have a few websites added to my blacklist using Custom Restricted List 1 and have added that category to the Main policy with a setting of block.  When I configure two browsers (FireFox and Internet Explorer) to use the proxy, I get the block page with FireFox but do not get the block page with IE. 

Any ideas?