Refer to the exhibit.

Firewall authentication generally requires the DNS service to be enabled in the firewall policy to correctly resolve hostnames during the authentication process. If DNS is not allowed in the firewall policy, the FortiGate cannot resolve external domains, and as a result, the user may not be presented with the login prompt when attempting to access an external website.

References:

FortiOS 7.4.1 Administration Guide: Firewall Authentication Configuration