Web content filtering is a new feature in Microsoft Defender ATP that enables security administrators to track and regulate access to websites based on specified content categories. You can configure...
Updated May 12, 2022
Version 4.0
Blog Post
Hi
You need to create the device groups first, they can be found under settings -> Permissions -> Device groups (a little bit higher up than where you define web content filtering). After you have created the device group(s) you will be able to assign your policies to the group(s) and it will hopefully work within an hour or two.