This option creates a new Term Set that's only available for use in the Site Collection you're currently in, also known as a "Local Term Set". This is useful in scenario's where you want to use the benefits of Managed Metadata Columns and Term Sets, but when the terms in the Term Set only apply in the context of your current Site Collection instead of tenant-wide/company-wide.
In your case it's probably disabled because a lack of permissions assigned to you. Only site collection administrators can create these Local Term Sets.
