Firewall-blocked hosts: strange behaviour on VLANs

We have 3 LANS: one untagged + 2 VLANs. Untagged LAN is using MS DNS server, while VLANs are accessing Peplink-managed DNS.
I have configured a list of host that should be blocked by the firewall, and hosts blocking is working correctly as they are unaccessible, however:

  • When accessing blocked hosts through the VLANs, the browser will show the classic spinning wheel endlessly as if the host is not responding

  • When accessing blocked hosts through the untagged LAN, a proper meesage is instantly shown:

How can the Balance be configured to show the same message on VLAN connections?