This option is available from Clip Menu for audio and image files. It is greyed out for video clips. It opens the clip in an external editor.
Selecting Audacity is the app that is configured by default to be the audio editing tool for Kdenlive.on audio clips causes the audio editing software specified in to open the audio clip ready for editing.
Selecting Krita is the app that is configured by default to be the audio editing tool for Kdenlive.on image clips causes the image editing software specified in to open the image file ready for editing.
The option is not available for video clips because Kdenlive is the video editor - only audio and image clips are edited by external software.