Hey,
You will need to create a menu with social links first.
Go to Appearance ? Menus and create a new menu.
Add Custom Links items to the menu.
Enter your social profile URI in the URL field. For example, if the link to your Facebook profile is https://www.facebook.com/SinatraWP, you would copy that into the URL field.
Here’s a screenshot of a configured menu: https://www.dropbox.com/s/lwjr8uj831pf77e/Screenshot%202020-03-16%2020.26.01.png?dl=0
Once you have that set up, choose the social links menu in the Social Links widget.