This type of rule will present you with a text field in which you can put the XML that the underlying software (Paul Tuckey's Url Rewrite Filter) understands. See cdn.rawgit.com/paultuckey/urlrewritefilter for the documentation.
Since 2.1.0, when using an advanced rule of type 'proxy', cookies sent by the client will be passed on, where in previous versions they would have been dropped.
A drop-cookies attribute was added to the <to> element in the XML rule to allow you to revert to the old behaviour. See below for an example:
<rule>
<name>XML Custom Proxy</name>
<from>^/test/(.*)$</from>
<to type="proxy" drop-cookies="true">http://localhost:8081/$1</to>
</rule>