You actually don’t, you just have the option of selecting one. In your screenshot, you can’t click the Create button because you haven’t specified a name yet for the compendium.
See the example below:
I can’t create the compendium because of the Actors pack with no system specified (and the whole shared compendium doesn’t have a system set either). But if I delete the Actors pack, the Create Compendium button becomes clickable, even if I didn’t select a system for the module (as long as I do have a name set for the compendium to create).
I hope that helps.