@johan I believe this is a gap in new Azure ML designer studio. The documentation mentions the creation of custom architecture for neural network but the implementation is missing in the Azure ML studio ml.azure.com
This may be because the previous version of the studio https://studio.azureml.net
has this option but it is not ported to the new designer studio. I will check internally if they intend to port this feature or if the documentation needs to be updated to remove this section. Thanks for spotting this.
The options in the previous version of studio.