You need to click that big button in the center that says "create frame animation".
Thanks @Theresa J! I really appreciate your answer.
From a user experience point of view this is not intuitive at all.
First it is a dropdown menu with only 2 options, then it converts into a button but still looks the same?
No wonder I had trouble with it!
Thanks again for making my day!
Well, if it looks like a button...geez. Really appreciate the hint!