This is indeed possible in your web gateway.
You could play with your rules with the usergroup and category or domain criteria to get the desired result.
For NDTV, the reason why it isnt blocked is because it falls under the category of "General News" and not streaming media. Even the ndtv.com/video falls under General news.
If you would want to deny streaming videos, you might want to consider blocking via mediatype on top of your blocked stream media category.
I tried blocking through media type .It does not play the video ;but i do not see any block page message
You won't be seeing block pages as you are only blocking the specific media type and not the whole web access.
If you want to block a certain site, say streaming media, do it via categories.
Now for some sites which you think should fall under streaming media category but doesnt, e.g. ndtv.com, you could block these via domain so as not to block the whole category it belongs to, like General News.
You could use URL.Host.BelongsToDomains criterium for this, create a list of domains and set the action to Block.