You're in the right spot. But I am guessing it's something to do with the beta. I just bought a new Mac and updated to Sonoma beta rather quickly after setting it up because I wasn't experiencing any issues with it on my previous laptop. But now I've noticed with Microsoft Edge, the app itself has never prompted me to use my location like Apple's did on first launch. Therefore, the location settings within Edge are useless. Mac OS is not providing location access to Microsoft Edge. I don't know of a workaround.
My previous older Mac I had updated from Ventura (actually whatever was before that lol) so I had already granted location access to these apps and I didn't realize an issue. I checked out that same spot on it before wiping it clean and third party apps were in that same section.