Should I create the Player HitBox object myself? is it hidden somewhere?
If by HitBox you mean the area “around” the game object, thanks to which the collision with other objects is handled, then there is a collision mcsk for this. It is set for every object and can be set for every animation. Its settings are made in the object editor. Link to docmentation: Collision Masks (for Sprite objects) [GDevelop wiki]
Everythink you should create by your self if you are creating from scratch. You can take an example of not-a-vania. There is already hitbox and its pretty much clear.