I think you have spotted the check box labeled "allow creation of records via this relationship". The key word is "allow". It makes it possible, but it's not an automatic process nor should it be as you normally do not want to create records in a related table simply by creating a record in the first (called a parent) table.
With that option enabled, You can place a portal (similar to a "sub-form" in access) to the related table on a layout based on the Parent table and you will be able to create new related records simply by entering data in the portal. FileMaker will copy the key fields from the parent to the child record for you.
While used much less often in this manner, if you place fields from the related table directly on a layout based on the parent table, this feature still enables you to create a related record, but only the first such related record can be created that way.
This is not the only way to create related records. Others method can and are often used.