I have a S9 (SM-G960F/DS) bought form Vodafone Romania, with the latest updates and I can't find the "Caller id and spam protection" in the Phone application settings. Latest updates intstalled.
Dissatisfied with the overall experience with the phone.. spent more than 2h only for this problem.
OPen up the phone app as if you're going to make a call, select the three dots menu on the right hand side towards the top and select settings. The option you're looking for is near the top.
That is the problem, it is missing in the menu you are mentioning. See the attached photo (in french). It seems it's mot a too uncommon problem. Should have been right after "Bloquer des numeros" as "Identité appelant et protection spam".
Thank you for your reply.