application filtering priority vs internet filtering priority

I'm a little bit confused. When application filtering enabled it has higher priority than internet filtering enabled. How come? In interner filtering just for test I created a new rule for Internet Explorer. I chose Internet explorer from internet filtering and blocked port 80 then started Internet explorer and my internet work fine. Is this the way it should work?
Application filtering enabled - Internet explorer set to Allow
Internet filtering enabled
LNS 2.5 p2