On the Navigation Screen, the Navigation block's sidebar inspector includes controls for auto-adding new pages and deleting the menu. Here's how it looks now:

I think we should improve the display of the auto-add option and the delete button, along with adding theme locations. Here's an updated design:

The new "Theme locations" accordion allows you to choose where the current menu will appear. Clicking the "Manage locations" button opens a modal that allows you to choose a menu for all theme locations at the same time. Each location allows you to either choose an existing menu, edit an existing menu, create a new menu, or select no menu. Here's a look at how it could work: