Click on the “Create lists” Button to create the required lists in the ContentTypeHub Site Collection. If the site collection with URL https://<your web application>/sites/contenttypehub does not exist, please create it beforehand. This Site doesn't need to be a Contenttype, but it needs all content types be installed / added.
After clicking the button you will see a success information on the right of the button. You should only click this button once for the entire tenant. If you install the app in another SiteCollection or Site, than you don’t have to click this button again.