This form only displays when adding merge fields where the document object does not exist on the template and you answer Yes to the prompt.

The column selection box will list all available columns for the selected document object (based on template type).  Using the Shift key (for consecutive selection) or Ctrl key (for random selection), highlight each of the columns you want added to the document template and click the Select button. All selected columns will be added to the Merge Fields grid in PM Create & Send Templates (for the specified document template).

Create a document template

PM Document Templates