Check the Alexa app, not the Amazon app. Shows up in mine
Edit: I just realized that all my Echo devices are 2nd generation, which apparently don't support Sidewalk[2]. I wonder if the menu item only shows up if you have devices that support it?
[1] https://www.aftvnews.com/amazon-has-started-switching-sidewa...
[2] https://www.tomsguide.com/reference/what-is-amazon-sidewalk
So, yes, in at least some instances, Amazon is doing a stealth-enabled rollout.