Here's the solution:

Under Web Security >> HTTP and in the "Additional URLs/sites to block"box entries must be added without "http" or "www" for all variations to be successfully blocked.

I.e. adding www,example,com ONLY blocks URL's entered with "www" prefix. Adding "example,com" blocks ALL variations of URL's, whether with "www" or without.

ASTARO >> Could this be a bug or simply something not documented in the Admin Guide?