The settings decide who can write to your child and which games he can open. What follows is the part they do not cover.
The first is the conversation itself. If a chat is running and the other player starts asking which town your child lives in, which school he goes to and when his parents are out, no filter helps any more. What helps is an agreement made in advance: we do not send our address, our school or our photos to anyone, and when someone asks for them we tell an adult.
The second is spending. Inside games the pressure to buy is part of the design: a better look, faster movement, a pass that removes the waiting. A limit caps the amount, but it does not explain to your child why the game wants the money. That conversation stays with you.
The third is copycat games. Your child looks for a well-known game and sees several almost identical names with almost identical thumbnails. Some of them exist purely to be clicked on. The habit of checking who made a game and how many people are playing it helps here more than any filter.
We wrote separately about how Roblox changed the rules for children's chat earlier:
what changed in chat.