If Web Filter is not functioning as configured, this may be because FortiClient cannot contact FortiGuard. Open Command Prompt and run
ping fgd1.fortigate.com. If FortiClient can contact FortiGuard, it should output the following:
If you have confirmed that FortiClient can contact FortiGuard but Web Filter still does not work as configured, ensure the necessary ports are open. FortiClient requires port 8888 or 53 to be open for FortiGuard URL rating. See Required services and ports.