When you create empty target shapes with the Add Target button in the Shape Editor, no separate geometry is created for the shape, which keeps the scene uncluttered. If you decide later that you want the target shape to have its own object (actual geometry), you can do this.
The new target object is connected to the its blend shape deformer with a target shape so you can edit it and affect the blend shape on the base object, like any other target shape.
To create a new object for a target shape or in-between target shape
A new target object based on and named after the selected target shape is created. You can move it away from the base object to see it, then modify its geometry to change the target shape (see Edit target shapes).