Rinse goes to backwash/waste (not to the pool). The idea is to rinse out all of the DE and other junk that is still lying around in the valves and such after backwashing and to prevent any of it from going into the pool.

My PB was pretty good about showing us this and the instructions that came with my DE filter were pretty clear on this as well. Our normal procedure (which I only do maybe twice a season) is to backwash, rinse, backwash again (much shorter time), then a final rinse and then back to filtering. When you rinse, you need to check the sight glass to make sure the water is running clear before going back to filter.

Another important thing which has been mentioned in these forums before is that you need to add a little LESS DE after a backwash as not all of the DE is removed from the filter during a backwash. My filter normally takes a fresh charge of 7.5 lbs, I use about 5lbs after a backwash. (If you have ever cleaned your DE grids at the end of the season, you will see chunks of DE stuck at the bottom of the grids.) If you continue to add the full charge each time, the DE builds up and can clog up the filter.