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I am trying to import data from the web but I do not see a from Web option?
A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
Excel for Mac still does not currently support that operation. You'll need to write a web query. A web query then can be run from Data> Get Data (PowerQuery) - Run Web Query... in the main menu but not from the Data tab of the ribbon. See the article by MVP Jim Gordon:
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Hello. Which exact Excel for Mac version are you using, and are you signed in with an active Microsoft 365 subscription? In Excel for Microsoft 365 on Mac, go to Data, Get Data, then From Web.
Well, this feature is available only for Microsoft 365 subscribers and requires the latest version, so go to Help, Check for Updates, and install all updates. If you use Office 2021 for Mac or another one-time purchase version, From Web through Power Query is not supported on Mac.
Have you bothered to verify this rather than simply substituting Mac for Windows?