I don't think that is where you add them. You already have a caption track (we can see the captions). Just disable the current track in the Timeline (click the eyeball). And you may need to click in some empty space if a caption is selected there. Then you'll see the "Create new caption track" in the Text Panel. Or right click the caption track header area, and pick new track.
I feel foolish, because I have no memory of seeing that greyed out option before. What does "Add to new caption track" mean? In any event a) it has been there since the beginning, b) there is no description of what it does in the reference guide, and c) I can find no way to make it active.