Seems like this wizard is not available anymore in my tenant. Did it move?
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@stefanwiele
Thanks for your feedback! We will investigate and update as appropriate.
It seems to only appear if you're the first person to use PIM in your tenant and it hasn't already been set up. I checked several tenants and could only see it in a tenant that had a Premium license applied where no one else had set up PIM. The document states that it shows up if you're the first person to use it in the tenant.

You're saying though that you saw it in your tenant but then it disappeared after logging into the same tenant with the same account?
I asked the product team to confirm if that is expected behavior as the doc only says that it appears for the first person to set up PIM and not that it disappears after.
@stefanwiele I didn't hear back from the product team but based on my testing and checking with the documentation, it only seems to show if you're the first one to set it up.
If you'd like to make a feature request to change this, the best place to ask is in User Voice. https://feedback.azure.com/forums/169401-azure-active-directory
I'm re-opening this as my contact says that it should still be available but I am seeing the same behavior that you are seeing.
If you need me to test anything just let me know. Btw I am a MSFT FTE, feel free to reach out on Teams.
Great, I'm creating a bug for this and will add you to the thread.
I am seeing the same behavior that you are seeing. Wizard does not show up at all.
Thank you both! I created a bug for this. I have pinged you on Teams but will also follow up on this thread when we have an ETA for a fix.
This is indeed the new process for PIM. New PIM instances will be created as v2 instances. The process that is described in this thread is the process that will occur moving forward. We are working to get an official announcement for this change as well as getting the documentation updated to reflect the new behavior and provide details.
+1 for this bug - was going to demo it to a customer! disappointing - but keen to know when it is fixed.
Same here - following. I may just have to attempt to proceed without the wizard...
@MarileeTurscak-MSFT I don't see the Security wizard either. We see conflicting answers between this feedback and the one open. I am taking the AZ 500 exam in couple of weeks time and hope done see any questions related to this.
Most helpful comment
This is indeed the new process for PIM. New PIM instances will be created as v2 instances. The process that is described in this thread is the process that will occur moving forward. We are working to get an official announcement for this change as well as getting the documentation updated to reflect the new behavior and provide details.