SSMS does not open popup wizard to create a new schema
How can I access this popup wizard?


This popup is disabled for Azure SQL Database and Azure SQL Data Warehouse.  It works for on-prem SQL Server.

Why?  Probably because it didn't work as-is against Azure SQL DB/DW, and it wasn't deemed worth fixing.  This is a really low-value feature, as Schemas don't really belong to Security and creating them in TSQL is so simple.

If you run Profiler you can see that SSMS runs the following batch:

declare @MasterPath nvarchar(512)
declare @LogPath nvarchar(512)
declare @ErrorLog nvarchar(512)
declare @ErrorLogPath nvarchar(512)
declare @Slash varchar = convert(varchar, serverproperty('PathSeparator'))      
select @MasterPath=substring(physical_name, 1, len(physical_name) - charindex(@Slash, reverse(physical_name))) from master.sys.database_files where name=N'master'
select @LogPath=substring(physical_name, 1, len(physical_name) - charindex(@Slash, reverse(physical_name))) from master.sys.database_files where name=N'mastlog'
select @ErrorLog=cast(SERVERPROPERTY(N'errorlogfilename') as nvarchar(512))
select @ErrorLogPath=IIF(@ErrorLog IS NULL, N'', substring(@ErrorLog, 1, len(@ErrorLog) - charindex(@Slash, reverse(@ErrorLog))))


declare @SmoRoot nvarchar(512)
exec master.dbo.xp_instance_regread N'HKEY_LOCAL_MACHINE', N'SOFTWARE\Microsoft\MSSQLServer\Setup', N'SQLPath', @SmoRoot OUTPUT


Which wouldn't work on SQL Database or SQL Data Warehouse.