Solved
Create subtask in cycle
https://support.smartbear.com/zephyr-scale-server/docs/test-cycles/run.html On the page above, you can see a screenshot of the gear press to create an issue [Create subtask] There's a menu, but ...
It's the same for me. No idea why but I guess that Zephyr has been updated and the help documentation has not. You can raise a question with the SmartBear support team as to why:
