Some web browsers may create a page stating "Your connection is not private" when trying to connect to websites which are blocked by Web Filter or Threat Prevention. It can also occur if you are using Captive Portal and the user is not authenticated. This occurs due to the browser viewing our inserted block page as a man-in-the-middle attack, and attempting to kill the connection between the host and the web server as a security measure.
The browser may present an option like 'continue to page' or 'proceed anyway', sometimes hidden behind an 'advanced' link. If the site you're trying to reach is blocked by Web Filter, the page remains blocked even if you 'continue anyway'. (It will likely display as a blank page or a 404 'not found' error page.)