@hao zhang - Thanks for the question and using MS Q&A platform.
The global admin for your organization has full permissions to create and manage all aspects of sensitivity labels. If you aren't signing in as a global admin, see Permissions required to create and manage sensitivity labels.Please check your permissions here: You must be assigned the appropriate roles to access and use communication compliance. These roles are currently assigned in the Microsoft Purview compliance portal under Permissions. Learn more
Hope this helps.