...in step 4, where it says "From the Language drop-down box, select PowerShell".
There is no such box. I have no clue how to continue from here.
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The docs is based on Azure Function 1.x. The latest Azure Function is 2.0 and it haven't support PowerShell. So you need try to change the Azure Function version in the Azure portal.
https://docs.microsoft.com/en-us/azure/azure-functions/functions-versions
Yes, _and_ change a few settings to get over a bug that prevents the _Experimental Language Support_ from being shown, see Pantelis Apostolidis' answer to my question here: https://social.msdn.microsoft.com/Forums/sqlserver/en-US/99f53950-97cd-419a-9090-93ffc004bcf3/azure-functions-powershell-language-support?forum=AzureFunctions&prof=required
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The docs is based on Azure Function 1.x. The latest Azure Function is 2.0 and it haven't support PowerShell. So you need try to change the Azure Function version in the Azure portal.
https://docs.microsoft.com/en-us/azure/azure-functions/functions-versions