If you hover your mouse to the right of the word 'Adventure' you'll find two hotspots that have the tooltip Create and Delete. Click the create area and a new set appears. Then you can use the Equip and Save buttons.
Noticed that myself, just haven't had a chance to fix it yet (I believe it's just the display for the button that's missing). I'll add it to the known bugs now, I'll see if I can get to it this weekend.