Can you provide some URL's to those sites to see if I can replicate the issue?
Unfortunately when you request a page and background content is loaded or in this case blocked you may not see the blocked messages and thus load the page. However, everything that is blocked will be logged to the access.log.
To ultimately know what happens when the content request is made you will need to run a network capture on the Web Gateway and view the capture with Wireshark.
For this log in and go to Troubleshooting > Packet Tracing > use -s 0 -i any in the command line parameters and start the capture.
If the capture is less then 48MB you can attach it here for us to review.