Cannot set up external content type

I'm trying to set up an External Content Type in SharePoint Designer 2013 in my Office 365 SharePoint site.

I have connected to the site (can make changes to all other parts of the site with no problem).

I have set up Metadata Store permissions for me to have full rights to BCS.

When I click on External Content Types, there are none there.

When I click on New External Content Type nothing happens.

Data Service doesn't seem to work either in that I can't seem to connect to my local SQL Server or my SQL Azure. But that might be a different problem.

What am I missing?