Hello,
You are not using the desktop version of Excel. Based on your screenshot, you are using the web version.
The web version doesn't have all of the features.
You do have the Microsoft 365 subscription right? If so, you can go to https://www.office.com Sign into your account, and click on Install Apps on the upper right to download the installer, then run the install file to install desktop app version.
Once installed, look for Excel from your Windows Start menu, and you can use the following instruction to find the combo box.