Probably related to this:
I think the links are marked as “potentially dangerous/unsafe” because the sites are not profiled in the filtering system, and so marked as potentially unsafe by default.
When I encounter such redirects that failed, sometimes I had to copy the redirect URL and manually extract the original URL from the string. Usually it involves conversion of URL encoding as well, which is a pain.
(The actual URL follows the highlighted ‘proxy URL’; sometimes the ‘https://…’ will turn into https%3A%2F%2F…)