I started in 1901 (now 1903) and I have AAA, AA, A, and Rookie, no problem. I think it's because I decided NOT to have historical minor leagues by unchecking these two options, and selecting AAA, etc., during setup instead:
Notice, though, that historically the game does not provide for minor leagues until 1915 (it uses reserve rosters instead). So maybe by setting that in-game option to "Import and maintain real minor leagues," you may get your wish when you arrive at 1915.
To test, save your league someplace, set that setting, and sim to 1915 to see what happens.