The last time I checked, Osprey doesn't hold the connection till a response is received. The browser does its normal job trying to load the website and Osprey at the same time does what it is supposed to do and after it finds it in a blacklist the webpage gets blocked. This is what it looked like to me.
@Foulest can provide more details and correct me if I'm wrong.
SmartScreen in Microsoft Edge works similarly. It never holds the connection. Google Safe Browsing in normal mode does the checking locally as you know before letting the site load, but local processing is extremely fast while its Enhanced Safe Browsing mode from what I saw actually wait till it receives a response from the server before letting a site load. So Enhanced Safe Browsing had a slight performance impact when I tested.