TMG Block rules and HTTPS traffic

Using TMG2010.

We have block rules using "URL Sets"  for example we have a social media block set and as a example we use this same rule to block HTTP and HTTPS requests, the way i do it is for HTTP requests i will do sayhttp://hello.example.com/* and this will block the page and re-direct the user to our custom page that explains why they have been blocked, now to block HTTPS i do hello.example.com on the same URL set and this blocks the HTTPS traffic but if users go to say https://hello.example.com they just get a page not found, why is this ?

Thanks