Hi Stefan,
I've just repeated your steps and you seem to be doing everything correctly.
I'm not sure what that help text is referring to, we may need to check it, but picking Building Elements (DataGroup) enables the drop down list of DG Catalog Types in the Drawing Rule dialog.
I don't expect these to be related, but before going much further it would be worth setting a project location for any custom cells DataGroup Annotation Cells - Where to locate the library? and also relocate the Drawing Rules file to a project or compnay location using ATFFILE_DRAWINGRULES and ATFDIR_DRAWINGRULES variables. Similarly for structural rules.