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Hmm, my Asus RT-N66 does URL/Keyword blocking:
The only thing is that they normally won't support filtering with HTTPS because they won't do MITM; or support SNI.
@x509:
Inbound filtering would happen by your firewall, such as NAT/access rules...that's not really a web filtering concern. I guess I don't see a use-case scenario where you block inbound URLs...??