Just make sure urlf blade is enabled, create custom app site (as Phoneboy said) and what I always do is say you want to whitelist anything youtube (for example), I put *youtube*, thats it, then use that object in the rule, according to your needs.
I spent who knows how many hours with TAC on the phone trying to follow the official sk about this (cant recall sk now) and could never get it working, so this way, I would rather save myself the frustration than spend hours on end making it work according to an official article, but, thats just me.
Best regards,
Andy