Hi Rahul,
Thank you for sharing the experience with us.
From your description, the issue is that you cannot find Create Data Type in the Transform tab in Power
Query Editor.
Per my research, the Power Query Data Types feature is a new feature released recently.
It is in development based on the information in Microsoft 365 roadmap and may be only rolling to Current Channel of Office.
Semi-Annual Channel of Office won't have the feature until next year, not sure yet if Jan/Jun (depends on stability and other factors)
Screenshots and article for your reference: Announcing Power Query Data Types
If you are using Current channel of Office, make sure to use the latest version. You may click File>Account>Update Options>Update Now in Excel to update Office.
When I test in Current channel version 2011(13426.20332), I can find the button Create Data Type.
If you are using Current Channel and cannot find the button, please let us know and capture a full screenshot of Product Information via File>Account. Appreciate your effort .
If you are using other different channel, please wait patiently for the feature to be released in the future. Thanks for your patience and understanding.
Best Regards,
Tina