Only at the time of creation of new module will you be getting that option. Once you have created your module you can change/remove/add the dimensions by going to Pivot.- As you are seeing in your snip.
This can be achieved by going to Blueprint of the module and go to "Applies To" Column. There will be three dots(Ellipisis) in this column, click on it and you will see all the lists, list subsets, line items subsets etc.
Ctrl+Click if you want to add more than one list as a dimension
Under Lists and Roll-ups, we will get an options to select the different lists(hierarchy), Versions, Line item subset but you can't select Lists and Roll-ups. This option you will get when you create a new module only. please go through below link: