I ran into the same thing. It looks like their documentation is out of date. I was able to add a widget using this:
Creating a widget extension
Open your app project in Xcode and choose File > New > Target.
From the Application Extension group, select Widget Extension, and then click Next.
Enter the name of your extension.
If the widget provides user-configurable properties, check the Include Configuration Intent checkbox.
Click Finish.
brainware
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I just left a scathing message in Feedback Assistant. This is a very important issue because it is nearly impossible to use StoryBoard on MacOS apps, causes errors, and generally ****** me off. If there is a good reason NOT to fix this, I would understand. But, I can't for the life of me imagine one.