In case anyone has the same problem, you have probably entered the URL under the "security" heading rather than the Authorization settings heading (at the top) on the developer settings page). The URL it is asking for in the security section is a base url with which the application can be used (hence why it only takes .com domains) whereas the one above can take any format that you want your callback url to be.
Hope that helps, the settings page in question is here:
http://open.weibo.com/apps/yourappid/info/advanced (replacing the your app id as appropriate)