You cannot partition a volume. You must partition a drive (device). To do this, click on the drive itself, which is just above the partition you chose on the sidebar ("Samsung Portable …").
You can then partition the disk.
Edit: Back up all the data you want to keep updated, and delete the disk as GPT (GUID partition table). Newer versions of DU for some reason will not work with MBR partition tables. Select ExFAT as the file system to read and write to disk from both Windows and macOS, or APFS if you are only using Macs.