There are two ways to achieve rule delegation. Rule delegation by using favorites or simply delegating a rule.
Paragraph, decision table, data type , map value, correspondence, service-level agreement , including circumstance types rules can be simply delegated and it is recommended not to use favorites approach to delegate them.
Case match, Collection, Constraints, Decision tree, Declare Expression, Flow, Flow action, When rules are considered for delegating using the favorites approach.
When you talk about creating a custom rule, could you elaborate on the type of rule? If it is not like the one above, then you will not be able to achieve delegation.