iPhone 14 Pro Max in US Market will not have a physical sim card lot. May be the instruction in the shipping kit was out dated, please disregard this matter. It is important to know that if you do have AppleCare+ and a valid address, you can request the replacement first and easily transfer your eSim once you have received your new replacement device.
iPhone Express Replacement Service - Apple Support
If transfering eSim phone to phone is not available to your carrier/ plan. You can replace your eSim by contact your carrier, or order a new one by their app. Some carrier may ask for an OTP sending to your text, so it is why having a replacement ready is better than starting with a blank phone. Hope this helps!