Are you using the new "Photos for Mac" application? Photos for Mac version 1.0.1 does not support external editors. The PhotoShop Elements 13 help is probably referring to iPhoto '11. If you use iPhoto'11 for your photo library you can set up PhotoShop Elements as an external editor in the Preferences. Photos is designed to support app extensions instead of external editors, and that will be possible in Photos 2.0 with the next operating system version El Capitan.
In iPhoto '11, version 9.6.1 you would do it this way:

Version 9.6.1 is the only iPhoto version you can use with the current MacOS X version.