On this screen, if you have a USB drive connected to your Nucleus, you can create a folder in it to hold your Backups using the “New folder” button.
If you do not have a USB drive connected to your Nucleus, then you will have to click the “+ Add network share” link to connect to a shared folder on your iMac Pro.
You can create a shared folder for your Backups by following the instructions here (this is for adding a Watched folder, but the principle is the same for a Backup folder):