What websites are showing as allowed? Some websites act just as portals for third party content where you are not actually leaving the website that is allowed. Google and YouTube are notorious for this type of behavior, but there are many more. Your child may have asked you to include a different website that also acts as a portal.
If the devices are using OS 18.5, then you can check the last time a Screen Time Passcode was used on the device and also make sure you get Notifications on when it does get used. It may be necessary to change that screen time passcode. The section to check that is titled "Check the last time a Screen Time passcode was used", and available here:
Create, manage, and keep track of a Screen Time passcode on iPhone - Apple Support
I have not experienced this myself and testing just now locked the device to the specific allowed websites, so sorry if I could not be more helpful by replicating what you are seeing. It is difficult to determine what the difference may be between our devices where it is not working for you. I would certainly recommend to contact Apple directly where they could possibly perform remote diagnostics that may reveal the cause, or even go to the Apple Store where you can show them what is happening.
Contact Apple Support - Apple Support
