@skydogtookmycash The checkbox is used to block attempts to bypass parental control with VPN, proxy server, TOR, etc. Once a device gets on a VPN (for example), the router only knows that a connection is made out to the VPN server, but any web site can be visited by tunneling through the VPN (therefore, defeating parental control).
However, when that checkbox is checked, games such as Roblox may be blocked because the router cannot distinguish communications to a game server and communications to a VPN server. Servers may be white listed to avoid such blocking, but that technique does not work for Roblox. Because for Roblox the server IP addresses are dynamic and it seems not possible to get an exhaustive list. The only option for now is to leave it unchecked.
That said, the checkbox can be safely left unchecked when children are young and don’t have the technology knowhow. Or you don’t give children administrative rights on the PC so that they cannot install VPN on it.
BTW, visits to http://www.opendns.com/welcome should not be blocked either way. In case it is blocked when the box checked, you can close the browser and reopen it and the problem should go away.