I was struggling with the same problem with parental controls today. I usually have the settings set on "try to block adult websites." I then customize and block many social media sites. I went to make an adjustment and it stopped filtering completely. Additionally, the time limits I set were no longer working.
Today I was working on it and the filter and time limits are back in place. This is what I did:
1. Change the managed account into an administrator. This requires going to users and accounts and checking the box that says "enable this account to administer the computer." With El Capitan the computer will say it needs to restart. Go ahead and click ok and restart.
2. Log in to the newly administrating account. Go back to users and accounts and change back this account to a managed account.
3. Go to parental controls. Click on the third selection: Allow access to only these websites. Lock it.
4. Log out and then log back in.
5. Try safari to see if it allows access to websites other than your bookmarks. It should block other websites.
6. Go to system preferences and parental controls and change the settings to what you want them to. Now it should be saving. Lock the parental controls.
Once I did all this I was able to put in my original settings again, blocking all adult sites and then customizing ones I wanted blocked. I had to re-enter all the custom sites again. The time limits had to be reset, but they are now working. If you want to check the time limits are working, click on the clock on the top right of the screen. It should give you a "bedtime" one minute before the time you entered.
Note: This is how I did it, but I am not sure 1 and 2 were necessary. You might want to try these steps with skipping 1-2 and see if it works.