When Cloud Secure Web Gateway (Cloud SWG, formerly known as WSS) is managing policies in the Cloud SWG portal, there is just additional option next to "Allow" button as described in this document.
In case of Universal Policy Enforcement (UPE), so when policies are managed in Management Center (MC), this verdict is not present.
Cloud SWG with UPE
To setup a coaching page in UPE, you need to use "Notify User" option:
1. Create a rule in Web Access Layer and for the "Action" select "Set", click on "Add a new object" and search for "Notify". It will display "Notify User" which you need to select:
2. It will be sufficient to leave the default settings, unless some customization is required. It can be done in the "Body" section:
3. Once you "Apply" and define Source and Destination, ensure that Enforcement is set to WSS or Universal:
4. After the policy is installed and deployed, you will see the following behavior once going to the defined destination. The default configuration (from step 2) will display the following:
5. The original page will load when "Accept" button is clicked