It depends on how the organization wants to manage/monitor employee network use. This is not an IT issue but is a business and human resources issue. Network bandwidth and management is not necessarily cheap. The network is there to support business requirements and employee internet use for games, gambling, shopping, adult activities, etc. is not using the tool (network) for business purposes. You are there to help the company make money, not cost them productivity which also costs money. Rather than questioning the policy I think you would be better off doing what the company pays you to do.
A great use of the web filtering software out there is blocking malicious traffic during transit. There are a lot of “drive-by” downloads that could be blocked with intelligent web filters. This type of network management is definitely in your and the company’s interests for maintaining network integrity and security.
You can learn more about the Websense product at the manufacturer’s website.