Changed behaviour when you click on blocked categories like "Advertisements"

I typed in "iPhone 11" in google search i got the following advertisements listed first: 

Now when you click on the first listed results (Anzeige=Advertisements) in proxy mode you got the following block page:

 

But when you change to DPI you can now click on the advertisement and the site behind it will load.

So how will be the behaviour when you click on a malicious site? Will the traffic just pass by and only the malicious site will get blocked, other content after the click will be loaded normally? There will be no interruption?

 
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