This should work.
I just tried the same: Created a custom action, create a new user defined category and add google.com to the extended list. The assign the new custom action to that category on the Category Actions tab. It works.
A problem might be the main "web action" that you select for the custom action.
Ensure that this is set to "Block"; then the Redirect URL will be used instead of the normal block page.
But if you keep the "web action" on pass for this custom action, the event is just allowed and the redirect URL cannot be applied.