That's a somewhat generic statement in the text there. It's actually creating a new, unedited, Theme.
Be sure to choose Manual Mode, then name it, check Locale, set as front-end default, and save. Don't change anything else, even colors.
Once it's saved, check one last thing. On the new unedited Theme, click the </> icon to its right to open the template editor, click the CSS sub-tab, and find the template titled custom.css
That should show exactly what is in my screenshot (taken on a cloud site I have for testing). I.e. there's nothing in the file except that block of text (which is commented out with the /**.... **/ tags).
Is that different than what you see in your new Theme?