In ArcCatalog you can right click in a folder and a context pane shows up that allows you to create a new address locator. Does Pro have similar right click functionality with a folder in the Catalog pane?
Yep... Tools only. Also remember that the tools Dan mentions above are the 'old style' locators. Use the Create Locator tool to create the new style single or mutli-role locators. The new styles cannot be used in ArcMap.