Welcome to the forums.
First, to make changes to this policy effective, you must log off and log on again. Did you do this?
Try doing it manually by editing the registry. (NOTE: Always backup the registry before making changes to it!)
Create a new registry value 'ExcludeExtensions' of type REG_SZ under the node HKLM\Software\Microsoft\Windows\CurrentVersion\NetCache. Add the list of file types to be excluded to this registry value.
Note that once we define the new list of file types that need to be excluded, this new list takes precedence over the default list of file types.