For anyone else who can’t figure out why the color picker no longer shows an option to create swatches, it is because swatches have been renamed to variables. You now have to access them through the Variables section on the left side of the interface. Unfortunately, the Webflow documentation and training videos are still showing the old, no longer available, UI/UX.
I was having the exact same issue. And then I realized there is a tiny purple circle that appears when you hover over the color swatch (ex. typography), and it turns into a plus sign you can click. Your color variables will all appear!