You cannot set up or turn on Find My on a device that is not in your possession.
Try the following to verify that it is not already on. Use any internet browser and log into www.icloud.com/find
(no two-factor code is needed when /find is used in the address)
Also see: If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support
and if necessary, see If Find My iPhone or Find My iPad isn't enabled on your missing device - Apple Support including the following:
If your missing device doesn't appear in the Find My app or at iCloud.com/find, you didn't turn on Find My. There's no other Apple service that can find, track, or flag your device for you. But there are steps that you can take to help protect your data.