animation (new in version 22.08)
It opens the clip in an external software specified in Default Apps ( ) ready for editing.
If the path is not set a pop-up window appears to define the path to the external software on your computer:
Once the path is set the application starts and opens the clip you like. The entered path gets added automatically in Default Apps.
More details for installing the external software and how to set the path see Default Apps.
The option is greyed out for video clips because Kdenlive is the video editor - only audio, image and animation clips are edited by external software.