I don't think you are doing anything incorrectly. I have an environment very similar to yours (Grails version: 3.3.2, Netbeans: 8.2, JDK: 8u151, OS: Windows 10) and I see the same error: Specify an application name or use --inplace...
This is a known issue with NetBeans 8.2 that has already been bug reported; see Bug 258407 - Error when creating a Grails 3.1.x project. The problem has been confirmed to exist in Grails releases 3.1.0 up to 3.1.4, but I see the same issue in 3.3.2, and there is no fix for NetBeans 8.2.
However, I successfully created a Groovy/Grails application using JDK 8u151 with a DEV release of NetBeans which you can download from here: http://bits.netbeans.org/download/trunk/nightly/latest/
Note the caveat that comes with using DEV releases of NetBeans:
These builds are still under development and could contain defects
that lead to data loss. They are meant for evaluation of new features.
As always, be sure to back up your changes if you use these builds on
your production code.
As long as you can you can live with that situation, using a DEV release is your (only) solution for creating Grails 3.x applications in NetBeans.
One final point: unlike NetBeans 8.2, DEV releases of NetBeans support Java 9 as well as Java 8, but don't use Java 9 when creating a Groovy/Grails applications. It won't work for a completely unrelated reason.