The "family protect" (and ad blocker) feature is DNS based, so it may take a few mins to have the filtering active due DNS cache. The best way to test is
1. Turn on family protect
2. Take your iPhone/pad/android to airplane mode. This will flush the DNS cache.
3. come back to wifi
4. test again
Also please check if your device have DNS over HTTPS feature enabled, due to how it encrypts DNS requests, it may bypass DNS based controls.