Resource Groups deployed using Azure Resource Manager Deployment Model should need a logging mechanism to save the NSG logs and due to that reason, you are presented with a workspace to save the NSG logs. You cannot enable resource logging for NSGs deployed through the classic deployment model.
As the screenshot indicates, there are no workspace available the resource group to use along with the NSG and you have to create a new workspace using the cmdlet New-AzOperationalInsightsWorkspace
An example cmdlet is below to use for this purpose
New-AzOperationalInsightsWorkspace -ResourceGroupName "ContosoResourceGroup" -Name "MyWorkspace" -Location "East US"
Create the workspace and try again creating the NSG so that you can make use of the above created workspace
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