If you are using "Project > Customer Addresses" as your Delivery Address default, then the addresses that are available come from the Customer account that is specified on the Project record being used on the Purchase Request.
You can check if you are using "Project > Customer Addresses"
browsing to System Options,
Purchasing, Purchase Requests Setup,
highlighting the request type you are using and clicking Edit.
Then on the Header tab of the next screen, scrolling down to the Delivery Address field and checking the "Default/Filter" column.
If there is no Project specified on the Purchase Request, no addresses will be available. Likewise, if there is no Customer account specified on the Project record, no addresses will be available.
If you need to add a new address, you do so directly on the Customer account in Dimensions:
Log into Dimensions
Click on Debtors
Click on Customers
Find the relevant Customer
Click Address
Click Insert
Enter the relevant details and ensure the address is ticked for "Delivery"
Click Save