You need to install
create-react-app npm module, before you use this feature.
npm install -g create-react-app
You can read more about this feature on the official release blog of WebStorm.
Excerpt from the documentation :
Make sure that you have create-react-app installed globally on your computer, for that run npm install -g create-react-app. Then to start your new project, double click on the start task in the npm tasks tool window to run it. That’s it!