For Cloud managed Web Control, on the clients, the value under the key:
HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Sophos\Web Intelligence\Web Control
BlockOnSXLFailure = 0
So Web Control is fail open.
The website classification lookups is a different infrastructure to the Sophos Cloud management platform. The Sophos SXL servers all over the world provide the site classification infrastructure. You only set the web control policy through the Cloud management platform.