That video might’ve been from an older version. Currently, you have to go the “Blocks Library” (https://your-project.admin.datocms.com/admin/blocks_library), make it there first, and then add it to the allowable blocks inside of your structured text field.
Keep in mind that there are also two (confusing) ways to use Structured Text:
- Inside a Model, Structured Text fields can contain Blocks and Models
- Inside a Block, Structured Text fields can only contain other Models, not nested Blocks
(see Nested Blocks)