Web Protection not blocking click throughs, but blocks direct access

I'm currently working to block all AI LLM's that aren't CoPilot. I'm using the Defender for Cloud integration which so far in testing is working well. However, I have one example with Grok where I have needed to add a custom URL so that I can block it being accessed from the sidebar on the main X website. I've added the URL as a custom URL indicator but if I follow the link on the X website it's not blocked. If I refresh the page once I'm on it, it will then return the expected block page. Similarly, if I manually browse to that URL it's also blocked on the first attempt.

What's preventing Endpoint from blocking the click through to the page? I'm using Edge.