The Botnet filter allows you to block connections to or from Botnet command-and-control servers, and also to make custom/dynamic Botnet lists. Many of the selections have an Information icon that you can hover over for a screen tip. More about Botnet filter can be found here:
Dynamic Botnet List Server using FTP/HTTPS protocol
How To Configure Botnet Filtering With Firewall Access Rules
This article assumes you have the Botnet filter enabled and working. When trying to add a Dynamic Botnet filter list, either from a public URL or from an FTP server, there is this error "Dynamic Botnet Filter fails to save URL with error "Dynamic External Group Name: failed to edit as modifyIndex = 0".
NOTE: When Dynamic Botnet List Server is configured, the SonicWall first inspects this list and when none of the IPs match, it checks the Botnet database from the backend to take further actions.

CAUTION: Please make sure that DEAG objects are not used since all DEAG objects will be deleted and the botnet config will also be reset.
More about Dynamic External Address Group (DEAG) : What are dynamic external objects/groups and how can we configure it?