I don't sure you meaning the Unified agent that management by the ProxySG or not?
If yes, In the Unified Agent can setting only the URL category to allow/block/warn with or without user/group and work with HTTP/HTTPS protocol only.
(I don't sure work with FTP or FTPS or not)
So, if you need block some destination category, you can only setting in the Local Category that can defining on the ProxySG and setting the Clients Web Filtering policy(Unified Agent Policy) to block them.
Hope this help.
Thank you and BR