Go to Settings → Privacy & Security → Location
Make sure "Location services" is toggled On
Also make sure "Let apps access your location" is On
Go to Settings → Privacy & Security → Find My Device
Make sure the toggle is turned on here as well
Go to Settings → Accounts → Your Info
Confirm it shows your Microsoft account (not a local account). Find My Device only works with a Microsoft account.
Go to Settings → Privacy & Security → Location
Scroll down to "Allow desktop apps to access your location" and make sure that is also On