I believe you need to make sure you have added a native navigation profile setup before you can use the option.
Have you followed this guide? https://docs.mendix.com/howto/mobile/getting-started-with-native-mobile
Please follow the below learning path for creating Native mobile app.
1. check App Security -→ should be production
2.allowed the anonymous user
3. add a navigation profile (native mobile )
4. set the default home page for the native mobile.
then build native mobile app will display
It could be firewall issue. Please read below.
Install the native application builder