To add components to the Utility Bar of an existing Lightning app, the app builder edits the app from Setup → App Manager, then uses the app’s Utility Items configuration. Salesforce Help specifically states that to edit or add a utility bar to an existing app, use App Manager and click Edit for the app.
Why others are incorrect:
A is close, but the entry point for editing an existing app’s utility bar is App Manager, not directly Lightning App Builder.
B is wrong because a Lightning Record Page is for record page layout/components, not app-level utility bar configuration.
D is wrong because App Menu is for launching apps, not configuring them.
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