Yes. You need to research everything, and you need a farm producing grain to build the windmill to build the backery,
It's very unlikely that you did something wrong. The way more likely case is that you're still missing something.
Did you upgrade the farm in Aldlyn on the overview map to produce grain? It's the second upgrade of the building, so maybe you missed it after constructing the first upgrade.
Did you build the windmill to make flour out of grain? (It's a bit north-west of the command center building)
If you have both of these things, you should see the construction option of the bakery 2 tiles above the command center.
