Fortigate 6.2.2 unable to block zenmate proxy

Zenmate is listed on the Fortiguard site as a VPN, so trying to block it via classifying it as a web proxy may not work 100%.  Keep in mind that firewall polices (rules) are executed from top-to-bottom, so if you have crafted web filter rules - it should be applied to outgoing web traffic - this rule should be moved up in the firewall rule chain so it can be triggered. 

A google search on blocking zenmate seems to indicated this browser-add-on calls home (e.g. zenguard.biz, zenguard.org, zenmate.io, etc.) - you should be able to craft url filters to block those domains. 

Learn to use the FortiView->sources and drill down to a device's indivdual sessions to see what exactly is going on.  If a site is not blocked, drill down into that session and see what the fgt says about what firewall policy is allowing that traffic through.