I got help from Deeper support on this and they got to the bottom of it. The issue is that Deeper Connect devices do not currently support secure DNS. This is because with secure DNS, the name lookup is encrypted between the web browser and the DNS server. The Deeper Connect device in the middle is not able to decrypt this request and subsequently unable to apply SmartRoute logic.
I was using Chrome for my tests and after disabling "use secure DNS", SmartRoutes began to work as expected.
You'll have to weigh your options, the extra security that secure DNS offers or the Deeper Connect's SmartRoutes functionality.
HTH