According to the screenshot from you, you are using live connect to Power BI datasets. In Live Connection mode, you couldn’t build relationships by design. If you would like to create relationships when your data source is Power BI dataset, you need to enable Direct Query for Power BI datasets and AS option firstly. After that, restart the Power BI Desktop and you can switch the connection mode to Direct Query. With Direct Query mode, you could build relationships.
For more details about Direct Query to Power BI datasets, you could refer to