how to flag email as urgent?

Open a Mail compose window. On the top toolbar, adjacent to the Send button, is another button. Click that, and select Priority field. Now, at the end of the Subject line, there will be a new button which when clicked allows you to set the priority:

If you are using macOS 10.14.5, then the solution that I provided does exist on the Mail compose window (because I tested it) on Apple Mail. You said nothing about iOS in your initial post, and you cannot assume that Apple Mail is implemented identically on macOS and iOS.

Select Priority Field, and you will immediately see a button appear on the opposite end of the Subject line.

FWIW, as a recipient why would I allow my priorities be set by the sender? If it were allowed that senders set priorities then I assume all spammers/phishers would set their emails as high priority. As a recipient it makes sense that I set a rule that email from my boss or from family be set as high priority upon receipt, but it does not make sense, at least to me, that the sender set my priorities.