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Wendy Peterson 8 Creating and Customizing Lightning Apps Trail - change in app visibility instructions
In the "Specify whether a Classic app is visible in Lightning Experience" section, the "App Manager" name has apparently changed in Setup to "App Menu" and the "Show in Lightning" section shown in this trail is now "Visible in App Launcher." See attached. Please adjust the trail instructions. Thx.
I think you are searching in classic mode .In classic mode, it is App Menu but in Lightning Experience, it is App Manager and also same for Show in lightning Experience is still there in Lightning.
Please refer below screenshots of Lightning Experience.
Hope this helps you!
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Thanks and Regards
Sandhya