If you defined your delivery strategy as "different prices based on location" and decided that you want to use areas you need to add zones. First, change the location strategy to "Areas"
When you do that you can start adding zones. Firstly, you need to select how you want to define them. You have two options here: add range circle, add range rectangle.
When you click it, you can select the area of operation:
You can add as many zones as you like, the zones can cover each other. There are some important things to remember here:
If you select areas, the system checker will be changed. People will see on the front page something like that:
When they choose a delivery option, the system will ask them for a location to check if it's covered with one of the zones: