When using the “Deploy a Release” step it is assumed that the child projects already have a release created.
These releases can be created by configuring a build pipeline to create the release within those projects when it pushes the package to Octopus using the Octopus plugin or the octo CLI
Or you can look into Automatic Release Creation for those projects to enable them to create a new release whenever they detect a new package is uploaded.
Finally, there is a community step named “Chain Deployment” that performs a similar function to “Deploy a Release” but does allow you to configure the release to be created by the step.