You can indeed both listen to a station that is not already in our list and save this as a preset for future listening.
To do this you need to access the player's web setup or 'Webmin' page.
Firstly, find the IP address of your player. This can be located by pressing the 'i' button on the front of the unit or by pressing the 'i' in the Players section of the connect app.
Then to access the player's Webmin page, enter this IP address (eg. 192.168.0.147) into an internet browser on the same network. The Webmin page will appear and lets you set up presets, podcasts, streaming services etc.
Once you have obtained a URL for the actual audio stream (not the station's website homepage), to save this, just enter the link and the name of the station into the Presets field then press OK to save.
The station will then appear in your player's presets.