No, that's not it. First you need to add an AD SET.
So, if you click on the AD SET menu, on the right pane of the screen you should see a button that allows you to add one.
Then, once you've done that you can hover over the AD SET you've added and see the link I mentioned above.
Can you try creating a new ad-set and see if that gives you the option?
If not, then just temporarily switch your wp theme to 2019 - lets make sure that some JS or CSS isn't getting in the way from it.
Finally, use the CTRL-F5 key combination on your admin page to make sure that the latest CSS and JS files.
PS: What version of the ADS plugin shows up in our FORUMS->PLUGINS list?
I have switch WP themes to 2019 but no change.
The Plugin version is 1.0.0
I did a forced refresh etc (on a Mac)
I opened the java console in Chrome, This is a bit beyond my experience but there is an error showing:
Unchecked runtime.lastError: The message port closed before a response was received.