DNS (and therefore OpenDNS) even don't know about HTTP or HTTPS. These protocols are totally irrelevant for the DNS protocol. Forget about this aspect.
Also, juegosjuegos.com.co is not yet tagged and approved under the Games category, so it cannot work with the category filtered, as should be.
https://domain.opendns.com/juegosjuegos.com.co
Also, www.juegosjuegos.com.co is an alias for the real name d1eoeng9tzwmbp.cloudfront.net.
Therefore, If you want to block this site, you have to add the domain juegosjuegos.com.co or the real domain name to your "always block" list.