In your screenshot, the animation is already a frame animation as noted by the first frame in the Timeline Panel.
Timeline Panel is titled "Timeline" regardless on the actual animation type - Timeline or Frame. However, the contents of the panel look markedly different based upon the animation type.
I think you have the same problem as I had. Try this solution I just found. In Photoshop CS6 click on;
Window > Extensions > Mini Bridge - it shows Timeline - then click on Create Frame Animation.
For Animation, you don't need PSD Extended but for the 3D features, you do (from what I understand from all the reading I've just done about this). I have CS6 & it works. (I refuse to move to CC).
Cheers - hope it helps someone. ✌️