The EX chapters don't follow a linear unlocking pattern like the normal story chapters. Every EX chapter needs you to have beat EX1. Then, EX3 specifically needs you to feed essences to Caly 5 times in order to unlock it.
It seems like there's a bug in the game right now, which displays the option before you've actually given any essences to Caly. With the prompt just saying "You must have completed EX1"which might be what is causing the confusion.