SharePoint 2013 has new feature that allow you to save your custom navigation in the Managed Metadata Service Application. I was playing around it and faced the following issue very first time when I tried to enable the managed navigation.
To resolve this issue navigate to central administration-->Manage Service Applications. In that click on Manage metadata service and select properties option.
Check the box next to “This service application is the default storage location for column specific term sets.”
Now you should be able to create Term Set when enabling Managed Navigation.