Create a pin/waypoint/location in Connect?

You can drop a pin on the watch itself - long press. 

Fully zoom into the map where you want to put a pin, then long press the pin point (i.e. the target icon), this brings up a info section at the bottom of the screen - touch that to fully open it on the screen, Get the details of the pin, get Go (launch navigation directions), save location (if you want to save a future waypoint/POI), Review (note - this takes a while as is building the navigation route so can provide elevation, distance from your location to POI and then the co-ords of the pin.

If you want to do this via app, then best option is to install Garmin Explorer on your phone - you can then search/locate POI on garmin express and sync them across to your watch.

Ok, so no way to do it with Connect?

I’ve used Explore on some previos watch but app and web page was very slow and buggy back then, has it improved now?

Connect doe not support individual waypoints.  Connect does have a large list of Course Point types that can be added to a course.  Once the course is sync'd to the watch, you can navigate the course and the course points will show up on the UpAhead Data Screen showing the Course Point name, Icon, and distance to.

If you just want waypoints then Explore is were to go.  Explore has improved over the past several months/years.  It still is a bit clunky, but is a viable solution to creation and storage of waypoints.  Waypoints can be created on the watch or app and sync'd back and forth without cell coverage.