Ok, a couple of things...
First, the docs (including the FAQ) are sorely in need of updating. We are currently working on getting a wiki populated and up to date, but that probably won't be done for another couple of weeks...
The reference to 'When URL Contains' is outdated, and has been replaced by the URL Pattern manager, but...
You probably haven't gone into the 'Advanced Settings' menu or link yet, which means you're still using the 'Basic Options', which means you haven't seen this yet...
Click the 'View' menu and choose 'Advanced Options'... and prepare to be overwhelmed...
The 'When URL Contains' functionality has been replaced by the ability to add multiple URL patterns that are used to detect when any given site is visited, and is how PWM knows which site it is visiting. Custom Accounts - which are only available in the Advanced Settings - is one of the more powerful features of PWM...
Please don't hesitate to ask any question here - and please don't start changing passwords until you are more familiar with how it works. When you're ready to start testing, use an unimportant account (like a yahoo email account) that you know you can reset the password for, so if you mess up, you won't be locked out of the account permanently.
All of this said - please don't let me scare you away - PWM is awesome, once you get the hang of it - I couldn't go back to the old way of managing passwords...