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: