Hi Dave,
It's missing. In the new Outlook for Windows you only get a small set of canned Search Folders. The "Create a custom Search Folder" dialog isn't available. Microsoft's official feature matrix lists Search Folders as only "Partially available" in the new Outlook, which is why you can't build the kind you show from classic Outlook. If you need that capability today, open Outlook (classic) and create/manage the Search Folder there. Classic still supports fully custom Search Folders.
More information:
- When will advanced search folders be integrated into New Outlook?
- Feature comparison between new Outlook and classic Outlook
I hope this helps!