Do I understand correctly that the setting works as you wish for, but that it's a pain to add exceptions because you have to navigate to settings and enter the URL?
Perhaps the ability to toggle an exception from the website is something that the GrapheneOS developers could implement.
However, this feature is from upstream, so it is possible that the GrapheneOS developers would rather wait for such an upstream to be implemented upstream.
You could always ask though on the issue tracker on GitHub to get their opinion though!