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Introduction
Uncategorized or unclassified categories for domains is not something that is feasible because blocking such category would lead to "breaking the Internet" for our users.
Explanation
Domains are used for more than just HTTP and since we do categorization at the DNS layer, domains that don't have HTTP on them cannot be classified because there's no content that we can view (ie. domains used for FTP or SSH).
If an "Uncategorized/Unclassified" category was available, it would undesirably block all domains that are used for non-HTTP protocols.
Alternative
The Umbrella security category 'Newly Seen Domains' can be used to achieve similar functionality to blocking uncategorized/unclassified domains. Learn more about blocking Newly Seen Domains here.