Correct. You won't be able to search or receive DMs until you set them up.

Don't remove them from General, just add the relays you like to each category.

For search you can just hit the default button. There are only 3 relays that can provide search anyway...

For home, choose the relay that will store your events forever. Most people used a paid one, like nostr.wine or nostr1.com.

For public inbox, choose the relay that every person will send public notifications to you (likes, zaps, etc). This can be nos.lol or nostr.mom for instance.

For private inbox, you want to do a mix of a personal relay (auth.nostr1.com) with a public relay, like nostr.mom