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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...
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.