Ok, I guess I am starting to understand what you want......
You want to block porno-offensive sites and also display a deny page....
Ok I did that once, but I left it aside because those test were made at the time when mikrotik was version 2.X and I was unable to properly control the bandwidth .... but anyway here is what you need.
You need a linux box with fedora or redhat or the flavor you like most.....
In that box configure the following:
The idea is this can be little offset has been a long time since then...., in your mikrotik activate parent proxy and point that to the ip of your linux box, ...
Your linux box will proxy thru squid(webcache) and dansguardian(filter).... there is a lot of info in the web for this matter. And probably you can also add clamantivirus to your filtering deployment.......
By the way... be carefull the "engine" of your linux box has to be capable of handling all that work...... Lots of RAM and fast harddrive....!!!