Are you performing the operation introduced in this official document?
Set up Safe Attachments policies in Microsoft Defender for Office 365
Please note that: You need permissions before you can do the procedures in this article
To create, modify, and delete Safe Attachments policies, you need to be a member of the Organization Management or Security Administrator role groups in the Microsoft 365 Defender portal and a member of the Organization Management role group in Exchange Online.
If you are assiged correct permissions, you could also try using powershell to configure the policy then verify the result again.
Somtimes chaning another browser is also a method. If you have tried all methods above with right permissions still no luck, the issue is more likely a backend issue. You could open a service request to get more information: Get support
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