It can't block adult websites if you're using Wi-Fi but this isn't a phone limitation. Adult websites/content are blocked by your ISP. You need to get in touch with your ISP or consider installing a security filter of sorts. I have no idea how to do this, but it's not dissimilar to the way schools set up a firewall to block mature websites.
With regards to websites viewed on your cellular data connection: You can either disable cellular data - but this means Wi-Fi is your only way to accessing the internet. Alternatively your carrier should (by default) block mature content; if not they should provide the means to set this up.
With regards to limiting access to certain apps - well - this is actually a feature coming with Cyan Update 1. It'll allow you to create a virtual home screen on your phone, allowing the user access to only select apps of your choice.
Personally I think the parental controls are quite decent. I'd be dubious about installing a third-party app to block content, as in order to do so it needs access to my browsing habits.