NetSuite added support for custom segments in 2015 release 2 . However the API support is made available only in 2016 Release 2
Latest release of Celigo Excel SmartClient for NetSuite is based on 2015 Release 2 API version and hence will not be able to support custom segments yet.
Update : 29 Aug 2017
Custom Segments are now supported in SmartClient Enterprise Edition. If you are using SmartClient Classic Edition and want to work with Custom Segments , talk to your Account Manager to upgrade to SmartClient Enterprise Edition.