In the legacy experience, you could create create a new risk linked to the Objective by clicking the + sign in the objectives detail panel.

In the new experience, the plus sign exists by the Risks in the UI but it doesn't open the Risk creation slideout panel.  The Risks dropdown only allows you to link existing Risks.  It is not possible to create a new risk from this page, requiring extra work in another tab with needless back and forth.  This is a bad user experience and a step backwards (in the new experience) for a large organization managing/creating a lot of risks.