M365 Business Premium should have this enabled by default IIRC, can you double-check what plan you are on? As for activating the service manually, it is indeed no longer possible to do this via the UI. You have to use PowerShell instead, here are the relevant documentation bits:
You must use PowerShell to activate the Rights Management protection service (Azure RMS). You can no longer activate or deactivate this service from the Azure portal. Install the AIPService module, to configure and manage the protection service. For instructions, see Installing the AIPService PowerShell module. From a PowerShell session, run Connect-AipService, and when prompted, provide the Global Administrator account details for your Azure Information Protection tenant. Run Get-AipService to confirm whether the protection service is activated. A status of Enabled confirms activation; Disabled indicates that the service is deactivated. To activate the service, run Enable-AipService.