You can create an email in Marketing Activities as long as it is within a program. For example, we have a "Sales Insight Emails" program in which we put all of our Sales Insight Emails for the sales team to access. By having them in a program, we can use My Tokens within the emails (e.g. for short lists of the latest customers) and by adding a channel to the program (e.g. Sales Emails), we can track their performance in analytic reports.
You should always be able to create a new email directly in a program. The help article Create a New LocalAsset will guide you through doing this. If you still have a problem doing this, you should contact tech support.