Magento 2.4.1 doesn't appear to offer this feature.
In my Magento 2.4.2 instance, this option is referenced in both the Magento_RemoteStorage and Magento_AwsS3 modules. These modules exist in the Github repository for 2.4.2, but not in the repository for 2.4.1.
Also, in the release notes for 2.4.2, the Magento developers reference this feature (see below) with a link to your devdocs page. There's nothing comparable in the release notes for 2.4.1. I'd say you can't find this option because it genuinely does not exist in 2.4.1.
Here's the relevant section:
Magento Open Source 2.4.2 Release Notes
AWS S3 support enhancements Amazon Simple Storage Service (AWS S3) support has been enhanced to include support for:
Object storage and future extensibility Storing media files on