Hi @Mateusz Gupta ,
Please note that Tenant Allow/Block List is not designed for Microsoft Edge as you have already known, so it is not expected to block websites on Microsoft Edge.
If you need to block websites on Microsoft Edge for users, please use URLBlocklist group policy. If you prefer M365 Admin Center for management, you can follow The Microsoft Edge management service tutorial and search for URLBlocklist policy in Admin Center. If successfully configured, specified websites will be blocked for your users as you would expect.
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Best Regards,
Shijie Li