Agency Anchor uses the projects custom post type from the Crosswinds Blocks plugin. You will need to have the plugin installed and activated (which you can do from the options page) in order to use this CPT.
The theme comes with a couple of projects page patterns available for you to use to quickly create a portfolio page. You can either choose one of these page patterns from the page pattern modal that appears when you create a new page or from the “Projects” pattern category.
The theme also comes with prebuilt archive templates for projects —
taxonomy-project_tag.html. You can edit these templates in the site editor by going to Appearance -> Editor and then hitting “Templates” and selecting the template you want to edit.