So what to do with uncategorized sites. They are a big, big problem. Best practice is to simply block them all, but that can become an administrative nightmare. If you aren't going to block them, at least subject them to a great deal more scutiny. That is turn on certificate verification and SSL scanning if not already on and crank up the sensitivity on your anti-malware. Another useful option is to warn the user in addition and log all access to uncategorized sites that were a result of "clicking through" the warning. The coaching feature of MWG is great for this and further modifications make the standard ruleset even better.
Attached is my modification of the standard ruleset. It adds logging and a separate Coaching configuration strictly for uncategorized sites. In case you weren't already aware if you have multiple categories for coaching with a single configuration, all categories designated for coaching will be allowed for the duration of the coaching session. That is if my coaching categories are sports, alcohol and gambling and my setting is for two minutes. After clicking through on sports, I will also be able to go to alcohol and gambling without additional prompts for the next 2 minutes. You can restrict coaching to singular categories, but you would need a ruleset and coaching config for each category. Obviously with the previously stated warnings about uncategorized sites, we might want to handle them separately.
Two custom logs are created with my ruleset CoachPresent logs both presentation of the block page and click through. CoachAccess logs all accesses that were permitted due to the coaching session.
Don't forget that you will need to allow Uncategorized sites and any other categories that you designate for coaching in your base URL filtering policy.