Do not have that option.
Your screenshot appears to be the default Windows start menu. Are you using Start11?
If not, your can create a shortcut to any app by using the following procedure.
Open the Run dialog, Win+R, and then paste the following:
C:\Windows\explorer.exe Shell:AppsFolder
and hit enter or click OK.
Once the window opens, find the app you want to create a shortcut for, and right-click>Create shortcut. A dialog will pop up like the following. Click Yes and the shortcut will be created on your desktop.
If you delete this shortcut after dragging it to ObjectDock, it won't work.
Before dragging to ObjectDock, move it somewhere on your C: drive where you can leave it. I created a folder called ObjectDock Shortcuts and put all my shortcuts for ObjectDock in it. Then drag the shortcut to ObjectDock. It should now work.