Before being able to add interests to your Facebook Ads account, you'll need to make sure the ad set is live inside your Facebook Ads account.
In case you can't select your ad set on the "Apply to Adset" page, it means your adset is not yet created inside your Facebook Ads account.
In case you are using the Facebook Ads Power Editor, you'll need to make sure your ad set is published, and not in "draft". You can keep the ads "paused" to make sure the ads won't start running until you are ready.
Please watch the following video with more information: