Thanks for writing in! Before you can create any albums, you will need to install the Envira Album addon. For more details about this features, please check this out:
And since Envira Gallery is a bundled plugin, you not be able to use the Addons. You will have to purchase a separate license to fully unlock the all the features of Envira Gallery. For more details of how bundled plugins such as Envira is integrated in X/Pro theme, please check this out:
Hope this helps. Kindly let us know.