This page of the docs describes this (kind of):
Overriding FortiGuard website categorization
However (as you've seen) there doesn't appear to be a "Create New" button on the Custom Category GUI page, as the instructions say. You can do it from the CLI though. (Warning: if you're not familiar with the CLI, make a backup copy of your config first, and read up on the basics of the CLI layout and using config, show, edit, set, end, abort, etc.)
To add or edit the local/custom categories from the CLI, type:
config webfilter ftgd-local-cat
From here, you can type "show" to see that ftgd-local-cat has two entries by default, which are named custom1 and custom2.
To rename an existing custom/local category, like "custom1", from the CLI (within the config webfilter ftgd-local-cat) type:
rename custom1 to MyCustomName
To add a new custom category, edit a name that has not yet been used from the CLI:
edit MyNewCustomName
This will add a new custom name field with that name and a newly generated id.
To save all this, remember to enter "end" in the CLI.
After creating/editing the custom/local categories in the CLI, you can use them in the GUI.
In the GUI, go to Security Profiles > Web Rating Overrides, and choose "Create New". Type in the URL pattern you want to match, for Category, choose "Custom" from the dropdown, then from the Sub-Category drop-down, choose whichever one of your new custom categories you want.
