Safe search is enforced with Bing in HTTP mode, i.e., when you access Bing with http://www.bing.com.
When you access Bing with HTTPS, i.e., https://www.bing.com, you can change settings from strict to moderate and off. However, explicit images in search results will not display if you are using OpenDNS.
If you are concerned about the search results of Bing in HTTPS mode, you can add https://www.bing.com to the Blocked URLs box. Then, Bing search over HTTPS will be blocked, while search over HTTP still allowed.
We’ll add safe search for Bing over HTTPS in the next update.