Lockdown mode and MS Office Web - icons missing

I’ve got Lockdown enabled on my mac. Most things are fine. But MS Office for the web is not.

For most web pages, you can select whether lockdown applies. I have done this for Office:

When looking at office in the browser, a red message appears in the top right “Lockdown Off”. But when the office web page shows, all the icons are blank:

I looked at the web page source - and can see that some material is being loaded from here:

res-h3.public.cdn.office.net

I have also set this to be excluded from lockdown. But that didn’t help.

Has anyone got MS Office for the web working under Lockdown Mode? Thx