Sorry, missing something...what is OpenDNS supposed to block and not block?

Hi, I got OpenDNS set up, by putting the DNS servers into my home router and then I tested it by using the TESTING FOR SUCCESSFUL CONFIGURATION example web pages and I get what you're supposed to get.  Super.

Now, various getting started examples mention the low/medium/high/whitelist settings.  I'm not finding that...anywhere.  I also can't find the settings for adding in or blocking any specific domain.  Yeah, maybe I'm doing it wrong, but more to the point, various examples:

• Common huge sites (yahoo.com, reddit.com, etc.) works instantly.  Good.
• Less common sites (gotsoccer.com)  works instantly.  Good.
• Very uncommon site (dinky-local-soccer-league.org) took longer and required retries but came through.  No problem.
• Deliberately misspelled garbage site name (sdkjlffgh.com, or any other TLD) brings the website-unavailable.com page out of OpenDNS, with my custom message.  Excellent.
• Known nasty cybercrime web site (mentioned by krebsonsecurity.com...and not because they're another investigator).  Not listed in domain tagging.  Brings up their login page just fine.
• "Bulletproof hosting" provider.  No problem there either.  Granted...this is the provider, not one of their "customers".  I'm trying to avoid their customers....

Am I doing something wrong here?