Strange — I tried it on my end using your exact instructions, and the option wasn’t greyed out.
There is another way to copy your navigation bar, or any other component. Simply right‑click on it, choose Copy and paste, and then select Copy to.
If you have multiple pages, scroll to the bottom of the menu and select Multiple pages. You can then choose which pages you want to copy it to. Just remember to tick Link copies if you want the component to update automatically across all pages.