This has been bugging me for a while, and despite googling around, I cannot seem to even find an explanation as to why the "Create Application Shortcut" is disabled.
Unfortunately, the answer to your question is "you can't," and the reason is "because Google says so.
but there is no real explanation as to why. Nor have I found one anywhere else. It seems like an oft-requested feature, but I've never seen Google even suggest that they are planning to add it (although I presume/hope that they will).
Alternative Solution: If you are interested in creating site-specific browsers on Mac OS X, Fluid.app works great, but (IIRC) it is based on Webkit, not Chrome.
There have been google suppor threads where a "rep" does state that this feature is in the works. It once was pegged at 2 months, or perhaps 2 weeks, I can't remember. That was over a year ago.
I suspect it is not a very high priority with so few users even knowing what it would be good for. I had a PC/Windows using friend try it out, not only couldn't he figure out how to set it up, but couldn't think of a good reason why it would be a great idea.
All the while, he was clicking away and mousing away with his 1900 button mouse that he loves so much. :)