It's the area around a planet, sun, or other large body that has a strong enough gravitational pull to make the planet orbit it. So basically it's saying, "Pick a planet".
I tried to click the area around the sun and it didn't work... But when I clicked a red dot next to a planet's name it worked fine??
Welcome to the "I made Geers literally laugh out loud" club. You can put that on your résumé. A gravity well is the indentation in spacetime caused by mass. when you "roll" down into the well, you experience the sensation of gravity.