Is this the default data filter that you are editing?
Check which it is in the firewall general settings page.
If it is, then try applying it and wait for the time to cross 16:00 (ie set it at 3:55pm and wait ten minutes) to see if it works. (when I tried to set a scheduled block on my vigor 2820n it had to cross the trigger time in the schedule before it actually worked).
Also if this isn't the default data filter you need to chain from the default filter to this one (at the bottom of the filter set up page is a next filter drop down menu) or set it as such.