The user-defined categories are used by the Extended list. So you will need to create an extended list and then tell your URL filter engine to use that extended list.
This can be done under Policy > Settings > Engines > URL Filter > Default.
You will then see an "Extended list" section. If "No list selected" is selected, then you have no Extended List.
Click add, to create your own "Extended list", then click "OK and edit", then you can add URLs and associate them with the user-defined categories as you wish.
Let me know if this helps.