In the GUI, go to Web Security Manager/Custom and External URL categories.
Click on "Add Category..." or click on the external feed that exists.
For Category Type, select "External Live Feed Category"
For Feed file location, select "Office 365 Web Service" and the Web Service URL should default to the one that MS published:
(
https://endpoints.office.com/endpoints/worldwide)
Test it, set it to update if you want... submit/commit.