I tried quitting and releoading and it remains the same
@Leri_weill is correct. You will still get a Vassal Inheritance Warning for these cases.
The inheritance block needs to take place at the very last moment before the death of the title holder & be lifted the day after they die and their titles have been inherited by the next in line of succession.
This is because there is no way to selectively block inheritance properly in CKII; a character can either inherit NO tiles from anyone at all under any circumstances or they're fully allowed to inherit anything from anybody. Hence the need to only block the inheritance for that very short moment.
You might want to consider the way in which you're communicating about this & actually give things a chance to go wrong before claiming that it's broken on the forums.
Once something actually breaks -- in this case, an external inheritance
actually happening into the conquered religion group via holy war -- then by all means, please post a bug report in the appropriate thread informing us as much so that I can investigate and hopefully resolve your issue ASAP.