WAF rules based on managed lists

We are using Cloudflare managed lists on the Enterprise subscription. The Cutom Rule is quite simple and are supposed to block visitors from using Proxies, VPNs and Anonymizers. Actually, it looks like this:
(ip.src in $cf.anonymizer) or (ip.src in $cf.open_proxies) or (ip.src in $cf.vpn)
But I tried it with more than 70 different locations using HMA, NordVPN and MulvadVPN. Not a single IP was blocked by the rule.
Did someone else face anything similar?
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