Hey Lucas.Robb,
I just ran into the same issue setting up a 500D for production. We're just switching from another vendor and so I'm learning as I go. I did find something interesting when trying to setup web filtering. I found that it wasn't classifying websites at all and therefore the web filtering wasn't working at all. I did some digging and found no KB articles or info on it so I started looking at configs. I found that there's a setting that was enabled that was forcing web filtering off. This was a new 500D out of the box so I didn't set this but here's how to find it from the CLI:
config system fortiguard <enter>
show <enter>
look for this line:
web-filter-force-off enabled
This is what is forcing web filtering to not work. Change it using the following:
set webfilter-force-off disable <enter>
end <enter>
As soon as I did this web filtering started working, and I've been troubleshooting whitelisting websites ever since. Hope this helps you out man!
-Mike