Additional chat-related features and issues within Microsoft Teams for business
Do you know if you have an Enterprise License for Office 365 (E3 or E5). My only assumption is that you do not have Planner App installed for Teams....
Try to search for "Planner" in the Teams apps and you will hopefully be able to "Add" it, if your license permits it. Then when you right click on a message, it should have the "Create Task Option". Below is what Right Click looks like for me.