Hey guys,
Figured would share this, since customer and I had been working with TAC escalation guy for couple weeks and he told us would probably open a task with R&D to see if there is a way to make block page come up every time when specific file types are blocked (in our case msi and exe). Its somewhat inconsistent at this point, since random sites dont show block pages when msi file is blocked and some are even allowed. I will update once we have fully working solution, but in the meantime, figured would share some screenshos that can hopefully help others if you find yourself in similar situation.
Andy