From a technical perspective, when a client/browser makes a HTTP request over an SSL session (HTTPS), the proxy in the middle (e.g Netskope) has 2 options:
1. SSL intercept the connection and return its own HTTP content inside the SSL tunnel.
2. Terminate the TCP connection with a TCP RESET
Without SSL interception being enabled (because there is a bypass in place) the proxy (Netskope) cannot open the encrypted SSL tunnel and return its own block page back to the browser.
Therefore, the only option is for the connection to be terminated with a TCP RESET. When the connection is terminated, the browser doesn't know why and the proxy can't return a reason (e.g a HTTP 403 response code), resulting in the generic browser error you see.
I hope that helps explain the actual reason why having an SSL bypass results in a generic browser error, rather than the branded block page?