In order to connect the icloud accounts, you need to select Add an SMTP / Imap Account as your option (see screenshot below). As icloud does not offer an easy one-click solution.
The details to enter in the form are:
IMAP Host: imap.mail.me.com
IMAP Port: 993 (no need to change)
Email: your icloud email
Password: here is the trick, you need to generate a app specific password. You can check our guide (below) or use the Apple guide here
Generate icloud app specific password
This is your final form:
After you enter you generate password, you should see a success screen as below:
Now you just need to add the SMTP Host and leave the rest with default values