Due to a post by Shubb, I checked this and you cannot create a colony in online mode unless you pick a commonwealth or use a charter code. Might be an option missing?
No option missing. If you read the descriptions you'll see.
To create an online colony that is not under another player (UE, LIS, Zolarg) you create an offline colony first then put it in online mode.
Also, I moved this post out of the Bug Reports section since you did not include any of the information required for filing a bug report and due to this not being a bug.
My understanding of that is that if you take an online colony into offline mode, you cannot switch back to online.