You might need to skip that step and come back to it later then once the app’s created. For S3 artifacts it’ll work this way, but if you were using a repository like Docker then you’d need set it up in the artifact servers page you found.
(Do you have a link to the setup guide you’re using?)
The Setup > Connectors section of Harness is strictly 3rd party integrations. This would be things like Docker Hub, Artifactory, DataDog, Prometheus, Solunk, ELK, Git Repos, Jira, and ServiceNow. Once those are setup, you can leverage them in either in Services, Environments, Workflows, Triggers, or Infrastructure Definitions.
For any integrations that are 1st party (AWS: S3, CloudWatch, ECS, etc. GCP: GCR, StackDriver, etc. Azure: ACR, AKV, etc.) those are added via the Setup > Cloud Providers section and granted via IAM roles and policies (check out this doc for those policies). When that is configured correctly, you’ll have access to those pieces in Services, Environments, Workflows, Triggers, or Infrastructure Definitions.