Creating a new rule in Pega Platform is appropriate when a specific behavior or functionality not provided by out-of-the-box features is needed. In this case, a developer creating a parallel process to audit changes made by a service agent requires a new rule. This rule will handle the logic and flow for tracking and documenting changes in a separate process, ensuring that the audit trail is maintained without affecting the primary case processing, aligning with best practices for maintaining system integrity and traceability.