Include Complications in a New App

I ran into the same thing. It looks like their documentation is out of date. I was able to add a widget using this:

Creating a widget extension

1. Open your app project in Xcode and choose File > New > Target.
2. From the Application Extension group, select Widget Extension, and then click Next.
3. Enter the name of your extension.
4. If the widget provides user-configurable properties, check the Include Configuration Intent checkbox.
5. Click Finish.