They've put it with the "Siri & Search" settings. It only starts to list shortcut options once you start doing stuff with your phone. There seems to be no way to create one manually, you just need to do whatever it is you want a shortcut to, and then hope it shows in the list. You then record your action phrase and it's set.I thought there was going to be a separate app for those Siri shortcuts, but there isn't (as of yet)?
The facility to create one's own shortcuts from scratch must be part of the Shortcuts app which hasn't been released yet.
For example, I just looked at my daily cycling distance in the health app and now I have a shortcut which I can trigger with "Show cycling data" and it opens up the health app to the screen I was looking at. Nice.
Well, I say nice, but so far I've never used Siri! Let's see if this changes me.