The linked document is 100% correct and accurate for Fortigate configurations. Fortinet is not producing documentation for general regex syntax. They are using their own. This makes sense as by default they want URL filters to be case insensitive (opposite behaviour to Linux systems).
You only need to include the delimiters if you are adding modifiers like /i, etc.
So you can have URL filter regex that looks like "domainNAME\.com\/path" and this will match regex as per the linked document.
You can also have a filter like "/domainNAME\.com\/path/i" to make it case sensitive. (Opposite behaviour to linux).
Escapes are needed as per regex syntax. So if you want "." to be literal please escape it.
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