I raised a support query about this error, and was told they are aware of this issue even after joining the AI Gateway Early service update group. A fix is scheduled for June 18th
Things I found out which others might find useful.
To see MCP you have to suffix your portal.azure with ?Microsoft_Azure_ApiManagement=mcp
MCP Server option will then appear under APIs menu in APIM.
To see the Service Updates (preview) option in "Deployment + infrastructure" menu, I needed to 1) Upgrade my APIM to Basic tier or above from Development tier, 2) wait for that to complete (around 45 minutes), and 3) then search using the search box within my apim instance for "Service Updates" - which then found it, and added it to my menu. It didn't appear in my menu by itself. Once that's there, I enabled the AI Gateway Early service update group, and a suitable maintenance time to get the updates. I found some documented hack on the web that adding a tag forceUpdate=<date> causes the update scheduler to schedule you an update as soon as possible rather than waiting for your APIM to pull in updates in the window, but I am sceptical about that - I think you have to wait the 24h.