After you click the "Click Here to create a new level" you then have to select one of the bioms at the upper-right or an "empty" (also at the upper-right). Then you need to go down and make any adjustments you like (see synchromesh's screenshot above), if any at all. The final button you need to press is "Generate Terrain for Level". This will FINALLY take you to the area where you can FINALLY begin to start making your level for your game.
It's a confusing way to do things if you've not had to do it before. I really think they need to rethink this and had opened a GitHub request stating they need to rethink this. New users are going to be just like you. They're going to click that first Click Here screen and then promptly get lost because absolutely nothing else tells them what to click and the one thing that tells them to save (Save Terrain Settings) isn't going to do the trick at the start for them, either.
Intel i9-10900K 5.10GHz, 64 GB RAM, Nvidia GTX 1080 ti 11GB, Windows 10 64-bit, dual monitor display