Given the error that it isn't a valid path or URL, it should accept a URL, but I guess that it doesn't see steam:// as a valid URL or can't deal with that protocol. It looks like it is only excepting website in the sense you would be using http/https protocols.
I guess the reason why I can see the Filter by options File/Folder and Website is that I already have Exceptions in both areas.
Unfortunately as an Avast User I can't go any further than this. I will try and draw some attention to this topic.
You say that avast is blocking the game from launching, what form is this taking, e.g. are you getting an avast error displayed ?
I just wonder if you could try Excluding a process (e.g. the games executable), but to reach that area you would have to go into the UI > Menu > Settings > Troubleshooting - scroll to the bottom and select Open Old Settings. Components > Web Shield > Customise > Exclusions > Processes to exclude. However it may not be the games executable that is launching the connection being blocked.