"New Library +" Button in the Einstein Data Library is Greyed Out

Step 1 :

Below are the two Pre-Requisites : 
          1. Make sure that you have the Data Cloud Permission Set license in your org.  
          2. Once you have the Data Cloud Permission Set license,  the Data Cloud Architect should be assigned to you/user.

Note : You can find the data cloud permission set license under the "Permission Set Licenses" in the company information page from "Quick Find". If not, contact your account executive to get the license enabled for your org.

Step 2 :
Once you have made sure that the above 2 pre-requisites are in-place, you can follow the steps outlined in this document, to finish the setup of data cloud.

After the above 2 steps are completed, navigate back to the Einstein data library and you will see that "New Library +" button is now available to create data libraries.