Thank you for letting us know about this question that you have in mind.
Yes, you can actually block a specific website permanently through the Exception List. Please make sure that you will select "Block" under "Response" if you are going to add a website under Exception List. Also, you may add the website as a wildcard.
Example of a wildcard is http*://*.example.com.
I hope this helps! Should you have any other concern, please let us know so we can assist you accordingly.