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Blocking .exe files via Web filtering not working

I have updated our end point policy on the sophos admin center via the cloud.

I have blocked .exe files via policy, but it does not work. Users can still open .exe files downloaded from the internet. I have updated the software via the pc and pushed update from the cloud to end point(pc) but no good. Restarted few times, still the same.

I have  verified that the website listed here is blocked: http://sophostest.com/malware/index.html.

Anyone got an idea as to why ? 



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