I can't change segments or anything.
As soon when I create a UV sphere or cylinder the menu from left pops up but is already greyed out.
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If you start doing things like rotation or location, the settings won't be available anymore.
Note sure if it's your case here but maybe try to first create the cylinder with shift+A then go directly to the settings, do whatever you want there, and the only locate rotate or scale it.
Hope it will help