Yeah, WordPress continues to update its dashboard where new features and functionality are carried over from the WP Admin. That said, most of the documentation was for the WP Admin and has now been updated. Some of the setting still need to be access via the WP Admin or via the Customizer as they are not yet available in the new dashboard.
That said, in the updated documentation, I’ve outlined how to add classes to menu items via the Customizer. This can also be done via the My Sites > WP Admin > Appearance if you are more familiar with that approach. Let me know if you have any questions.