Explanation
According to the VMware NSX Documentation, Applied To is a feature that exists only on tier-1 gateway firewall configurations and not on tier-0. Applied To allows you to specify which logical router ports or segments are affected by a firewall rule. This can help reduce the scope and improve the performance of firewall rules.
By default, gateway firewall rules are applied to all the available uplinks and service interfaces on a selected gateway. For URL filtering, Applied To can only be Tier-1 gateways.
https://docs.vmware.com/en/VMware-NSX-T-Data-Center/3.2/administration/GUID-DE6FE8CB-017E-41C8-85