My experience of this matches @itman and I agree that there is a bug here. I don't want ALL of my browser sessions to be opened by default in secured mode (amongst other things there are considerations of history/cookies/cache and various extensions). However, if secure all browsers is not selected, B&PP is failing to respect the website re-direction list that I have configured and this opening my 'banking' websites in a normal tab. [I am using Chrome 87.0.4280.141 and ESET SSP 14.0.22.0]
This is very frustrating.
Adding to above, I have now realised that Secure all browsers and Enable protected websites redirection are mutually exclusive, so you certainly can't use both modes. However, in redirection mode, why won't my secure list websites redirect? (they don't give an error, they just open in a normal tab)