No, you've done nothing wrong. It's been reported before that the Script Blocker doesn't work with Firefox. It works with plain-old Mozilla, but not Firefox ... at the moment.
I (along with loads of others) are hoping that Alwil will be looking into this pretty soon. It may not be such a deal, 'cos others have reported that just changing the name of the Firefox executable from "firefox.exe" to "mozilla.exe" makes the script blocking work. Though how to tell if it's really, really working, I don't know.
I guess we'll have to wait on Alwil (with the occasional prod).
CJTC