Hello Mr Onka,
Network Protection is a requirement to block unsanctioned apps. You can try installing the Microsoft Defender Browser Protection add-on for third- party browsers and check.
Refer to: https://learn.microsoft.com/en-us/defender-cloud-apps/governance-discovery#prerequisites
Also refer here for related discussions: https://techcommunity.microsoft.com/discussions/microsoftdefendercloudapps/blocking-of-unsanctioned-apps/3073954
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