Hello off2,
I believe that you are in the wrong forum. This question should be related to the McAfee Endpoint Security and not McAfee Web Gateway.
Btw, let me try help you:
All policies related to this product is managed by ePO:
Select , then select Endpoint Security Web Control
This message appears because of your Enforcement Messaging Settings and the response for each site depends on the settings on the Endpoint Security Web Control Policies.
For example, if the site is on a Block List, it is going to block, but if a site is rated as Red Yellow or Unrated it may Block, Ward or Allow (Please see Content Actions Settings)
I hope it helps.
Cheers
Lucas
And the actions is located at