Hi @jpcapone,
Great to know that and thanks for sharing the update here.
By the way, since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others." and according to the scenario introduced here: Answering your own questions on Microsoft Q&A, I would make a brief summary of this thread:
[Default sensitivity label settings location for Teams/SharePoint site]
Issue Symptom:
Can't find default sensitivity labels in Library Settings.
Current status:
You have found default sensitivity labels in Library Settings.
You could click the "Accept Answer" button for this summary to close this thread, and this can make it easier for other community members to see the useful information when reading this thread. By doing so, it will benefit all community members who are having this similar issue. Your contribution is highly appreciated!