Several separate categories of U-value are available to you within the Materials Manager menu - Upward, Downward and Horizontal:
These options are available to provide flexibility in how Materials are applied.
They refer to the direction of heat flow, so in general:
This also means that, or example, a material listed under Roofs could be applied to Wall surfaces in your model. (In such an instance the horizontal U-value for roof would be used, as this would be the direction of heat flow).
To apply custom material types like this, you can find a filter option for each surface:
You will then be able to filter by construction type as below.