As far as a best practice, all of the documentation (including the URL filter guide) is located under Home > Manuals.
It sounds like the last admin setup your policy with an implicit deny, which is not default so it just sounds like you need to change that.
You can set your URL filtering on a policy by policy basis. You most likley need to check over the categories you have blocked and consider whether they should be opened for your organization (https://kc.mcafee.com/corporate/index?page=content&id=PD22571). You can set your category actions (i.e. allow, block, coach, etc...) under URL Filter > Category actions.
Let me know if this helps.