XBOX Geo Filtering not working

I have a DSL router from my ISP which cannot be converted to an AP or bridge. I have connected the XR500 as the only device on the router and connected my XBOX to it via Ethernet port (no Wifi).

I solved the Double NAT issue by setting the IP address of my XR500 router in DMZ on my ISP's router and then adding my XBOX (connected to XR500 via cable) as static IP address.

When I play any multipleayer game on my XBOX, I can see the the profile is ineffective and no restrictions are applied. I have tried Destiny, PUBG, GTA and several others. 

Any iidea what could be wrong?

I have latest firmware btw.