Have you read this? Recovery Drive - Create in Windows 10 - Windows 10 Forums
From the Tutorial
Back up system files to the recovery drive will require that the USB flash drive is large (at least 8-16 GB) enough for this.
Checking this option will give you a Recover from drive Troubleshoot option in advanced startup that allows you to reinstall Windows from the recovery drive.
Some people are getting a We can't create the recovery drive - A problem occurred while creating the recovery drive error message with Back up system files to the recovery drive checked.
If you have this issue, then leaving Back up system files to the recovery drive unchecked should allow it to successfully create a recovery drive.