I have researched this and note the following:
I don't have the 'Connect to a new Office 365 Group" in the site settings dropdown
According to Sharepoint Admin the site is not already connected to a group and it lists the site template as "Team site (classic experience)"
I have checked the Admin classic settings and can confirm I have "Allow site owners to create new Office 365 roups for their existing sites."
What have I missed?