I am having the same problem, I see there is a confirmed bug regarding a problem with blacklisted sites not being blocked, see below for more information.
http://bugs.endian.com/view.php?id=2300The problem is that when they add the option to custom whitelists and blacklists, they broke the non-custom blacklists.
The solution could be to edit the /usr/local/bin/restartdansguardian.py and change the lines 308 and 319:
Line 308: exceptionsitefile = open("/etc/dansguardian/profiles/%s/exceptionsitelist" % number, "w")
Line 319: bannedsitefile = open("/etc/dansguardian/profiles/%s/bannedsitelist" % number, "w")
Change the "w" to "a". That will append custom site lists instead of overwriting them.