There's a long-standing bug in the draft workflow editor. You can't add transitions to steps that don't already have one outgoing transition.
You will need to copy your workflow to one with a new name, and edit that. The inactive workflow editor allows you to add transitions to any step, no matter what. Once you've added it (and made other changes you want), save the new workflow and then go into the workflow schemes and swap the old one for the new one.
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