ShotGrid Desktop menu item (Advanced project setup… ) is missing

I started to follow the steps of Configuration Setup - SG Developer
“Step 4: Advanced Project Setup…”
I don’t have this menu item:

How to obtain this menu item?

Is the project already setup with a tank name and pipeline config?
Are you and admin user?

I’m an admin user! I’m not sure about the “setup with a tank name and pipeline config”. I tried couple of things. For eg. instead of using the ShotGrid desktop I tried to use cmd to use the tank commands described here Advanced Toolkit Administration - SG Developer. And somehow the menu item what I missed had appeared.