I was playing around with this the other day and I noticed you need to turn it on in both the main settings application (like you have) and also need to enable it in the Messages app settings too. I think, but not entirely sure, that the setting within the Messages app only appears if you have the chat bubbles function enabled in the main settings application. Couldn't get it to work with WhatsApp, I think WA settings said it wasn't supported by my phone which is weird as I was on One UI 3.0. Not that WhatsApp matters anymore as I deleted my account and the app.
Oh and this annoys me with Samsung - there's far too many settings, it's a minefield getting things like chat bubbles enabled because there's multiple options that work against each other. Samsung - phones should have easy to use UIs with options that are intuitive. If your users have to ask for support to enable features then you're failing with your UI design.