Thank you for your comment, Maurits Sanders.
I did not realise that I have to specify a content filter.
I did see that article when I was troubleshooting this issue, and although Step 4 of the Resolution is Allow Network Content Filtering (new in macOS 10.15 and SEP 14.3 RU1) I thought the SEP 14.3 RU1 installer did this automatically, as shown in the second screenshot in my original post. During the SEP install, I saw a MacOS warning screen appear to allow Network Content Filtering, and I did approve this.
Do I need to make another configuration change somewhere else on the Mac, or within the SEP Manager?
I'm not using Jamf or other MDM at the moment, but if necessary I can use Profile Manager supplied with the MacOS Server app to apply config files.
Thank you again.