Hi there,
Indeed some themes don’t support this functionality. You can double-check by temporarily switching to the default Storefront theme and checking if this option appears.
If you can confirm this option is there with Storefront but not your theme – you may want to reach out to the support team of your theme. Declaring theme support might help but I’d suggest discussing this with your theme developer, feel free to send them a link to this thread.
As a workaround you could hide this content from your shop page with some custom CSS and use shortcodes or product blocks to display the products:
https://docs.woocommerce.com/document/woocommerce-shortcodes/
https://woocommerce.com/products/woocommerce-gutenberg-products-block/
When it comes to your homepage, the displayed content can be hidden with this plugin:
https://www.ads-software.com/plugins/homepage-control/
The category pages might be harder to edit though.
I hope this helps!