Currently, it is not possible to add a custom taxonomy to a post (standard post or CPT) via a form. The use case is that a checkbox list of available categories is shown to the user which they can select BUT there is no ability to allow them to add their own. In another example, it is possible to map a text field to a taxonomy but while doing so doesn't produce an error, the taxonomy is NOT created. This may actually be a bug?

Whichever way and whatever the reason, this is a basic capability that other CPT/Front end form solutions allow, for example, ACF. I am currently migrating a number of sites away from ACF to JetEngine but this lack of functionality is now a showstopper.