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According to TAC case I've seen, it should be supported to use a Custom Application/Sites.
Here are the steps I found from one TAC case where the customer confirmed it works.

For Anti-Virus Configuration (R81.10, R81.20)

1. Verify Anti-Virus Blade: Ensure that the Anti-Virus blade is enabled.
2. Create Custom Application/Site:

* In SmartConsole, navigate to New > More > Custom Application/Site > Application/Site.
* Name the Application/Site and insert the domains into the URL list.
* Ensure the checkbox for "URLs are defined as Regular Expression" is unchecked.

1. Add Exception:

* Go to Security Policies > Threat Prevention > Exceptions.
* Click on Global Exceptions, then Add Exception > Above to create a new rule.
* Change the Action to Inactive.
* In the Protection/Site/File/Blade section, select your custom application.
* Ensure that the values in the following columns are set to Any:

* Protected Scope
* Source
* Destination
* Services

1. Install Policy: Install the Threat Prevention policy.
2. Clear Caches: Make sure to clear the DNS caches on the used DNS servers and the Malware Cache on the gateway. For instructions, refer to sk105179