In unity probuilder, how to create new face with selected vertex

The answer by comphonia is correct. ProBuilder by default does not allow you to create non-manifold faces as you've described. However, there is a preference that you can enable (if memory serves, the label is "allow non-manifold geometry") that will allow certain actions to create overlapping faces. I think you should be able to use the "Bridge Edges" action to do this, for example.