I have looked and it seems in previous versions I need to select the components in the feature tree, right click and then the option (create sub assembly) but I am unable to find this selection?
It's still there for me (SW2017 sp 2). Have you clicked on the double arrows at bottom to show all the options?
Ah yes, It is still there but as I had selected a mirrored part the option was not there when I remove the mirror part it works fine,
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