I have the same issue with advertising and other categories. I believe the problem is this: At some point in the last couple of weeks it appears OpenDNS started using Talos filters, but the OpenDNS categories and Talos categories differ in many cases...

Looks like it's fixed now (for me at least.) I am able to check or uncheck categories and they are saved correctly.

I don't think you're doing anything wrong. I think there's a new glitch in the system. I reported something similar yesterday and opened a ticket. In your case: nytimes.com is categorized as News/Media You selected Moderate filtering which does not c...

Same here. All categories are checked, They remain checked even if I un-select some and save again. All categories remain checked. I opened a ticket for this. No response as of yet.