I did not try F-Secure ULAV recently, but:
the protection warning window does not open when you enter the site of the bank
did you mean that when you visit Banking website -> there are not visible small prompt on the right-bottom side of screen with information that Banking Protection session is active (and further 'blocking' alerts about untrusted pages)?
Or something else?
Did you try to check different banking websites/browsers and doublecheck that such feature is enabled under F-Secure ULAV UI?
... and therefore do not understand whether there is bank protection or not ...
I will try to re-check it with my own experience (later) - but just as suggestion based on my previous experience:
-> when you open F-Secure ULAV UI (full-screen) - there should be 'search field'. Possible to type something like "Bank" (Banking or so) and UI will be filtered. If 'Banking Protection' option is not visible - maybe possible to switch 'type of visible content' to All.
How I remember - UI should be with entry about "Banking Protection" with small description and ability to switch on/off it.
// by the way - possible to check that Banking Protection session is active... just by visit some pages. Good to choose some random safe pages (unrelated to Banking/Payment and not so popular) and if page is loaded - maybe BP session is not active.
-> possible to doublecheck that https://nordea.no will not trigger Banking Protection session too.
With some of browsers (like Internet Explorer, Firefox or Google Chrome). If still - not; maybe possible to double check that something like proxies/turbo-modes are not applied to network settings (by Browser or by something else).
Also, it is likely that such feature may be broken. So, good to create bug-report under beta-portal for F-Secure ULAV.