You can do it 2 ways.
If you need the coaching to be the same for all users (i.e. Webmail category gets coached for everyone) . Then you can put it at the root above the URL filtering rules.
If you want different behaviour for the coaching for different sets of users, then coaching rules should go into each URL-Filtering rule set.
That is, if "Brands" needs to coach for Web Mail, but "IT Dept" needs to coach for Social Networking, then put a set of rules inside of each URL Filtering Rule Set.