I have the link under “appearance”, but once in the menu page there is a box labeled “Theme Location” where you can normally select your primary navigation menu you’d like to use for the site. In this “Theme Location” box it claims that “The current theme does not natively support menus, but you can use the “Custom Menu” widget to add any menus you create here to the theme’s sidebar.”
I have used this exact theme before and didn’t have this issue however I don’t think the problem is with this specific theme since it occurs on nearly every other theme I’ve tried. Though it claims the theme does not support menus, it has created a menu for me of all the pages on my site. locate or change the menu it has pre-created.