The error is not displaying the category.
Screen shot 1 shows a content_filter_denied exception page that correctly lists the category:
Screen shot 2 shows a policy_denied exception page which does not list the category:
Your System Policy has denied access to the requested site.
Your System Policy has denied access to the requested URL.
Tech support information: policy_denied
The policy_denied exception page is displayed because there is a policy rule that matched and denied access to this page. For example, if a rule is added to the policy in Group A, which also has the category set to Gambling and is in the blocked category list, the policy_denied exception page is displayed.
Web Security Service
To have the content_filter_denied exception page displayed instead of the policy_denied page, follow these steps: