But why those options?
Not sure I understand the question. Do you mean, what these options mean (they refer to standard OAuth2/OpenID Connect configurations)? Or why Auth0 doesn’t provide it out of the box?
Yes, you would need to create a new connection via +New Connection, because it’s not supported by Auth0 out of the box (either due to low demand, deprecation, or recent changes by the IdP; in this case the latter and the recommendation by Facebook to use Facebook instead of Instragram). Otherwise, it would’ve already been under the standard Dashboard > Connections > Social Connections.