From your screenshot, the template for your site is "Team site (no Office 365 group)", which is a modern view site without office 365 group by default.
However, "Connect to New Microsoft 365 group" UI option only applies to classic templates like the classic team site template (STS#0) and community site template (COMMUNITY#0), and your team site template is "STS#3",so the button missed.
Difference between STS#0 and STS#3:
To find the site template via viewing the source of the start page (Ctrl + U) and search for JavaScript variable:
webTemplateConfiguration
As a workaround, we suggest you use powershell to connect the site to a new Microsoft 365 group:
$UserName = "[email protected]"
$SPOAdminCenterUrl = "https://tenant-admin.sharepoint.com"
$ClassicSPOSite = "https://tenant.sharepoint.com/sites/ClassicSPOSite/"
$O365Cred = Get-Credential -UserName $UserName
Connect-SPOService -Url $SPOAdminCenterUrl -Credential $O365Cred
$GroupDisplayName="<Group Display Name>"
$GroupAlias="<GroupAlias>"
Set-SPOSiteOffice365Group -Site $ClassicSPOSite -DisplayName $GroupDisplayName -Alias $GroupAlias -IsPublic $true
More information:
https://support.microsoft.com/en-us/office/connect-a-classic-experience-sharepoint-team-site-to-a-new-microsoft-365-group-469c6ee0-2139-4496-9914-7e39d07ac49d?ui=en-us&rs=en-us&ad=us
https://www.c-sharpcorner.com/article/connect-sharepoint-site-to-office-365-group/