There are several ways to insert a stereo bus...
What you're attempting to do should work if you right-click on the far right side after the divider (not on a hardware output strip, though).
There is a bus menu atop the Console view with an Insert Stereo Bus option.
There is a Stereo Bus option on the Insert menu on the main Sonar screen.
Also, on the main Sonar screen, you can right-click in the blank area at the bottom-left of the screen (below the divider) to Insert Stereo Bus.
I'm using Platinum, so I'm not sure the options will be exactly the same for whatever version of Pro you're using.