Yeah, it's hard to know what will be reocgnised as an application and what only as a web-browsing to a specific URL like you ecperienced with your 'gambling' testing. I believe both of your 2 options would work with some additional configuration. In rules where you are allowing web browsking and applying URL filtering options, set application to 'any' and limit service to port 80 and 443 (and maybe 8080). But also make an additional rule above these web browsing rules. In this rule block all unwanted application, preferably with application filters (gamin, remote access, file sharing...). Maybe it's not ideal solution but it should work. I'm also interested to hear how others are combining URL filtering and application policy for web browsking traffic.
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