Haven't tried it, but if you log at /etc/sarg/sarg.conf around line 301 starting with # TAG: report_type type, you may be able to specifiy what type of reporting you want. From looking at the sarg report, it appears the default is report_type topusers topsites sites_users downloads. Unremark line 315 and set what you want, then restart sarg, go to some denied sites, then generate a one-shot report and see if you have the denied sites listed.
Sarg.conf is templated, so if it works for you, then you will need to probably add a templates-custom fragment.
John