Hello JbrandW,
Thank you for coming to the forum and I will be happy to assist to explain this to you. I am sorry that you are facing this challenge but the setting to open in app is only available for users of Office 365 Business subscription. If you do not have a Business (work/school) subscription that option is not available to you.
The only way around it is to buy a Business subscription that comes with this feature since the company will not share a subscription license with you. Or you manage the limitation as it is.
If you are using Office 365 Personal or Home, or the free version, then you do not have this feature
If there is anything else you need let me know.
If none, have a wonderful rest of your day.
Kind Regards Fuad