It seems that the settings entry for "Advanced Threat Protection" has been renamed to "Advanced security" by Azure. The docs should be updated accordingly:

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@tiesmaster Thanks for the feedback! I have assigned the issue to the content author to evaluate and update as appropriate.
@Adam-Smith-MSFT @tamram Cool. I'll see if I can put in a PR tonight with the appropriate change, if you're interested.
@tiesmaster - Absolutely, we would appreciate your fix.
Hi, I didn't manage work on this, and tomorrow I'll leave for a 3 week holiday, so don't expect anything in the short run from me.
@tiesmaster - I've updated the image and the doc. Thanks again for pointing this out!
@tamram Your welcome, and thnx for fixing it ;)