Once you create the menu (in Appearence, Menu), you have to tell the theme to use that menu. That is usually in Appearance, Customize, which should then have a choice somewhere (depending on where the theme author put it) that you can specify a menu you built. Some theme’s Customization let you directly create/change/specify a menu.
Just creating the menu doesn’t apply it to the theme. You have to ‘tell’ the theme (through Customize) what menu to use (you can create more than one; and some themes allow you to have different menus in different places).