Community

It seems you've worked it out, but for others coming across this, it's an instance specific setting. Whoever is running your instance can decide if users can make their own communities. Most instances let users create communities, including yours.

One caveat is that you can only create a community on the instance your account is on. This is because functionality to create communities on other instances hasn't been implemented yet.

Though you can moderate a community on another instance, so a workaround is creating an account on another instance you want to create a community on, use it to create a community, then use it to assign your main account as moderator.