When you add a custom field rule to a user segment and you don't have any custom field, you see a message saying "Evaluates if the value set for the selected custom field matches the value from the user's profile. No custom fields are defined for User. Custom Fields can be configured in Control Panel -> Custom Fields"
Given that in this scenario only the user custom field is what makes sense, the link should point directly to "Control Panel -> Custom Fields -> User". Currently it takes you to a generic view.