Unable to create Subtask against a Test Step in new Test Player UI

My organisation manages defects by creating subtasks in test player and managing them in one singular defect ticket. I was able to do this via the settings cog:

The new UI seems to have removed this option:

This means navigating out of the test player to create the subtask, and then coming back to the test player to "Add existing issue". Whilst it doesn't take an exceptional amount of time to do, it seems extremely counterintuitive.

I can currently get around this by switching back to the old UI but I know that option will not be around forever. Am I missing something?