Just to clarify, though I totally understand why someone might be confused by this...so, when it comes to Check Point, but its pretty much same for any other fw vendor, ANY would refer to anything, internal or external. Internet, on the other hand, ONLY considers external, NOT internal.
Having said that, I would strongly recommend you use separate ordered layer for app control/url filtering. I attached a doc I put together for @Matlu in a separate post.
If you are still not clear, let me know.
Hope it helps.
Cheers,
Andy