If you're not seeing block pages, try these troubleshooting steps.
Cloudflare Certificate Not Installed on your Device
If block pages aren't working and you see a "This Connection Isn't Private" page instead, make a special note of the Error Message. If you see a "ERR_CERT_AUTHORITY_INVALID" error, that means the certificate required to display the block page has not been installed on your device. This message could change to a "too many redirects" error if you're using DNS only mode instead of the full filtered VPN.
To fix this, you need to install and trust the Cloudflare certificate.
Get started with this article: Generating Certificates for Cloudflare