Would you know how the Application Settings - Application Custom URL field can be used?

For example I set it to be: demo.mydomain.com?

The  Application Link field is set to: subdomain.mydomain.com/admin_user/app_name.

My DNS provider yells that  subdomain.mydomain.com/admin_user/app_name is not a valid domain name.

Is there a help page for this settings?

Many thanks,