Standard threat objectives are automatically added after the creation of a scenario collection.
To edit or add threat objectives, in the Create Scenario Collection screen on initial creation, or if you've already created the Scenario Collection, if you select the "Edit the Scenario Collection" button (4th from the top on the persistent left-hand toolbar), select the icon on the top right of the threat objectives field (see red arrow below):
Add a new threat objective by typing it in the field and selecting "Add:"
Now that new threat objective should appear in the list/ field of threat objectives associated with that Scenario Collection. Please note that this threat objective will not persist to other new Scenario Collections.