I'm not sure if it's because I've already set some up but in my log, I see the words "Training Targets" with a "+" sign beside them. In the non-mobile version, it's in the area on the right where I see injuries, upcoming races, weather, etc.
On mine it also doubles as the button "unlikely to happen"
It was there as you describe but for some reason too obscure for me to see. Got it now.
Pro tip: North of 40, your eyes don't always see the small stuff right away. ;)