When a conversation is loaded in the Intercom Inbox, the WooCommerce app will check if a customer exists with that email in WooCommerce. If a customer does not exist, you will be prompted to create one.
Click Create Customer and enter their details if required. Please note, you cannot alter the email address as this is the link between Intercom and WooCommerce.
Finally, click Create Customer and you will be returned to an overview of the new customer.