To allow/block a URL through Sophos Central, you can follow the steps and reference screenshots in this blog.
1. Launch the Sophos Central Admin.
2. Click on the Global Settings on the left pane of the page:
3. Click on the Website management in General pane:
4. Click on the Add button to add the URL you want to allow access:
5. A pop box for adding website customization will appear. Then fill up the URL/domain and the Category, and click save button:
6. Click on the Endpoint protection tab in the left pane and then click on the Policies tab:
7. Click on the Add Policy button in the right top corner:
8. A pop-up as shown below will appear:
9. Select the feature as Web Control and type as User. Click on the continue button.
10. Give it a policy name and select the user from the available user and drop it to Assigned users as shown below:
11. Now click on the Settings Tab and turn on Control sites tagged in Website Management and click add new:
12. Add the website tag and the follow-up Action you wanted, click save, and you are done: