In document
http://docs.kicad.org/5.1.4/en/getting_started_in_kicad/getting_started_in_kicad.html#using-pdbnew
I found the line " Click on the Setup → Design Rules menu"
Should this be changed to " Click on the File → Board Setup → Design Rules menu"?
The thing is that there are no setup menuitem.
Btw could not find any category related to pcbnew, i found this to be the least bad match.