From Playlists, choose New playlist, give it a title, and save.
That is the whole form. Everything else, content, screens, schedule, transitions, is set afterwards on the playlist’s own tabs.
What a new playlist starts as
Empty. Nothing plays until you add content.
Enabled. It will play as soon as it has content and screens.
Unscheduled, which means always active. It plays whenever it is assigned, until you narrow that with a schedule.
Not a priority playlist, so it shares the screen with anything else eligible.
Naming
The title is what you search by, what the screens list shows under Plays on, and what decides the order when several playlists share a screen.
Name for what the playlist is for rather than when it was made. Reception rotation survives; Playlist 3 and New playlist (copy) do not.
If you want deliberate control over rotation order, put a number at the front: playlists on a screen play in alphabetical order by title. See When several playlists are eligible.