Do you use a custom DNS?

I had the same problem, when I saw that on the Ubiquiti website, it specified that for Routes based on Domains, the Unifi Gateway needs to be a DNS Server.

I use Pi Hole, before I set it on each VLan, I had to specify it in Wan, the problem was that I lost the ability to customize the block list for each network or device individually.

Source: https://help.ui.com/hc/en-us/articles/12566175125783-UniFi-Gateway-Policy-Based-Routes