This is a new feature of Sitecore Experience Commerce 9 Update 2 Release. Documentation has been updated up front on doc.sitecore.net that's why you have seen instructions and screenshots there. This is however not valid for Initial release or Update 1.
Release notes of Update 2 mark this as a new feature:
"Storefront Catalogs are now incorporated into the content area of the storefront sites and reside under a new "{tenant}/{site}/{home}/catalogs" item where it's used and belongs. This fixes multiple issues including:
- Limited access to the catalog for non-admin Sitecore users.
- The same products appearing in multiple locations in content with the same item ID and path, causing problems in different places.
- Not being able to set and store Sitecore specific settings and data like personalization, presentation and workflow on catalog items and have it persisted correctly and uniquely."
See more information here -> https://dev.sitecore.net/Downloads/Sitecore%20Commerce/90/Sitecore%20Experience%20Commerce%2090%20Update2/Release%20Notes