Your link is for 5.2.x instead of 5.4.x, so this doesn't match exactly as it is handled a little differently.
I think the matching 5.4 documentation is in the "Using Alternate Profiles" section of the documentation from:
http://help.fortinet.com/fos50hlp/54/Content/FortiOS/fortigate-security-profiles-54/Web_Filter/Overriding%20FortiGuard%20website%20categorization.htm?
Or are you asking if you don't have to apply a web filter with overrides to an existing policy at all? If you can just create multiple security policies, matching different source subnets/groups/users, with the security policies having different web filter profiles assigned?
That is what I'm doing with 5.4.3 (with different subnets, though groups should work as well). On the more open web filter I just set the higher risk areas that were allowed to "Warning" so users had to choose to specifically override the filter for a certain length of time, rather than turning on the "Allow users to override blocked categories" for specific users.