If you want to select [Using step group] when creating a scenario, you need to have a Step Group for the beginning of a Scenario (a Step Group that starts with a Visit Step).
Therefore, if you have not yet created a Step Group for the beginning of a Scenario, or if the only Step Group you have created is a Step Group for the middle/end of a Scenario, you will not be able to select [Using step group].
Similarly, you cannot change the Step 1 of an existing scenario to a Step Group if you haven't created a Step Group for the beginning of a Scenario.
If a Step Group for the beginning of a Scenario has been created, you can change Step 1 to a Step Group.
For more information and instructions on creating Step Groups, please see the following documents: