In a VDOM used to proxy clients request (acts as a proxy server on 8080), although DNS filter is enabled in feature visibility, but is not displayed (everything is there, WAF, IPS, Web, ...) but DNS filter is not present
In the other VDOMs, such as a VDOM linked to the one mentioned above which has direct Internet access, DNS filter is present but as I said in Proxy polices in our Proxy VDOM serving clients request it is not present.
It is not that FortiOS explicit proxy doesn't support it, it is that proxy clients do not pass their DNS requests through the proxy. They don't resolve the FQDNs of websites requested through the proxy at all.
DNS lookup is then handled by the proxy itself. (so the proxy itself can connect to the desired server to facilitate the connection)
Feel free to install Wireshark on some test client of yours to verify this client behaviour yourself. Focus on DNS traffic (UDP/53) and proxy traffic (by default TCP/8080 in FortiOS, but maybe you changed it).
As such, try using webfilter profile in the proxy policy, making sure you're blocking the Malicious Websites category. I'm not sure if this is 100% the case, but I have checked a handful of FQDNs from the botnet list, and they were all categorized as "Malicious Websites" by the FortiGuard webfilter rating.
Sorry for making it long but I still don't get it why it's not possible anyway. Let's assume the client is requesting xyz.net which is a C&C and there is a DNS filter on the policy. When the fortigate is serving the request, finds the DNS filter rule enabled and check the IP is in botnet database so it answers with the portal or any configured address. I know it sounds strange and not straight forward but seams feasible to implement.
Basically, the request has to pass through a firewall policy. If it passes through another VDOM, it will have to pass through another policy and DNS filter can be applied. If it goes out directly to the internet from the VDOM it will not have to match a policy and therefore you cannot apply the DNS profile.
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