What the plugin does is assemble the full URL it checks by combining the protocol, your port, the host selected in the bottom, and the path you enter so you don't enter the full URL in the path field.
So in the case you wanted to check https://dynatrace.com/support you would enter the fields:
And the plugin would create the full url when it runs. The error message you see shows that it is trying to assemble all of that together and causes a jumble in your case.
If that is some sort of unusual URI but it looks correct, that exception means it can't resolve that name you have entered to an IP address, possibly because of a DNS issue - I would try and log into that server and ping or do some other command to see if that host can resolve that IP as it doesn't look like it can.
In the select hosts screen you can "create host" which will allow you to enter in any hostname or IP so there should be no limitations there. In my example I show you can even add something like cnn.com:
When it runs that value will be populated based on the code your request receives. The thresholds you're looking at are what you set for creating things like incidents or if you want a threshold to appear on any charts.
I'd read a bit on what monitors are actually doing as well as some on incidents as I imagine you'll want to set that up as well:
I never use the option to create incident rules from there, I always do it from the incidents tab in the system profile settings. But that is greyed out unless you are highlighting one of the measures that also has a threshold set.