"Custodial symmetry" is a specific (global) symmetry in the Standard Model. The SM has a gauged SU(2)_L, but if we ignore hypercharge and fermion masses, there is also an SU(2)_R symmetry which is global (no gauge bosons). This symmetry forces certain electroweak observables (like the rho parameter) to vanish. The fact that hypercharge and fermion masses are there means that these quantities do NOT vanish, but are proportional to these parameters (g', m_f).
As to the Higgs transforming under custodial symmetry: in each Higgs model (SM, 2Higgs doublets, Higgs triplet, etc) the Higgs transforms under that custodial symmetry (global SU(2)) in a certain way that is model dependent. That is probably what this paper is referring to.
Hope that helps.