Membership Not Restricting Pages

Hello! I've been having issues restricting content with Membership.

I have 3 levels of membership:
1. Guest
2. Free
3. Paid

Paid members see everything. Guest and Free should not be able to see the "member's only" page in my menu, but I want them to see the link and see a "sorry, restricted" message if they click and are not a Paid member.

I've used the negative options when setting up Membership, and am viewing in multiple browsers (one not logged in, so viewing as a Guest), but am still able to see the page content I thought I restricted.

Also, I have no idea what a URL Group is for... could that be why?

Thx!