You are not missing anything…this is entirely our fault*.
To temporarily workaround this, please download and use the latest RhinoWIP, and use it to customize the command set. The RhinoWIP will allow you to duplicate the set and customize it. Since the RhinoWIP and the full commercial Rhinoceros share the same settings, you can switch back to the 5.1 version and use your customized set.
This issue will be fixed in the the 5.2 update.
*we found a bug very late (too late) before the 5.1 update of Rhinoceros that forced us to turn off the Duplicate… button in the Command Editor on El Capitan. We fixed this in the RhinoWIP.