You raise a DNS lookup to see what IP address is being returned.
nslookup domain_name.
And then you check this list of IP addresses to see why it is being blocked:
https://support.umbrella.com/hc/en-us/articles/115001357688
Then you unblock categories or individual domains as needed.
You can find out the categories for a domain by this command:
nslookup domain_name.cat.opendns.com.
Also, if you have configured the OpenDNS FamilyShield addresses, these always block the Proxy/Anonymizer categorie, generally.