Why does this happen?

This error happens when the user browses an HTTPS website, such as https://www.facebook.com and the website is then blocked and being redirected to the Protect block page. The original certificate is not signed for the Protect website and therefore the browser either alerts the user or refuses to load the website. This is the expected behaviour of your browser as this is the way it was designed to protect you.

Note: The HTTPS protocol makes use of TLS/SSL encryption and therefore expects the original certificate that the website is signed for to be presented. This protocol is what protects your information on the internet.