From your screenshot, it looks like you are attempting to add this to the Data Model tab for a Case Type. The help file you've referenced is related to the Data Model tab for Data Types. It looks like this is not available for the Data Model defined on a Case Type, but can be added to the Data Model defined on a Data Type.
"Data Reference List" is a not a data type as specified. Here we have two scenarios, One is "Data Reference" and "Data Reference List", with DataReference, Pega creates a DataPage of type Page, Whereas with DataReferenceList Pega creates DataPage of type List.
Ex: When we create a Data Type "PersonalData", after creation of Local Source Pega creates two Data Pages "D_PersonalData"(for Single Record)-->DataReference and "D_PersonalDataList"(for multiple records)-->DataReferenceList.
Specifically we don't have option to select DataReference or DataReferenceList in the Data designer or Case Designer.