When you apply the Draw Mask (B), Linear Gradient Mask (L), the Radial Gradient Mask (T), the Healing Mask (Q), or the Clone Mask (S) to an image, the Layers tool automatically creates a mask along with an adjustment layer. The same holds for AI Select and AI masks like Subject, Background and People Mask. You can then make your localized image adjustments.
If you have created an empty layer first, you apply the desired image adjustments and see them being applied as you draw the mask.
Starting in version 16.7.0, when you create a mask with an existing layer selected, Capture One creates the mask on a new sublayer under that layer. See more about adding/combining masks here: Combine Masks