User-defined categories are normally used when you have your own sites you want to group together for a special reason. For example, you make have a list of sites common to a group of users that you always want allowed or blocked for them. You can put the URLs into a user-defined category and apply rules to the category.
Most all of the same logic can be accomplished without user-defined categories by using lists. There are some nuances betweent he two, but they both group together sites you specify and can take an action based on that grouping.
I can't see how either will assist with Websense conversion. What you are looking for is a mapping of Websense to Smartfilter categories. I haven't seen that done recently.