If the data source is set for ‘All Records Types’, you can easily add new record by clicking the + button on sub-grid.
However, if the data source is set for ‘Only Related Records’, it will show the magnifying glass icon, and still need to click
another plus button to finally add a new record.

It would be efficient that even if the data source is selected as ‘Only Related Records’, it will open up the new form to add a new record by one-click.

Setting Steps :
1. Sign in to Dynamics CRM Online
2. Navigate to [Settings] – [Customizations] – [Customize the System]
3. Choose the Entity (optional), and click ‘Forms’ and open the main form
4. Click ‘INSERT’ tab, and click Sub-Grid
5. It would open ‘Set Properties’
6. As Data Source, you can choose either ‘Only Related Records’ or ‘All Record Types’
7. The + button works differently whether the data source is for only related records or all record types.