New Preview Feature - Personalize Visuals After Enable not under Report Settings to Turn On

Hi Polygon 

I can't repro your issue, please make sure you're using the latest release of the desktop.

Please note that After you turn on the preview switch, you will need to specifically enable it for the reports that you want end-users to be able to personalize visuals for.
If you want to enable the feature from Power BI Desktop, you will need to go to File > Options and Settings > Options > Report settings for the current file and make sure Personalize visuals (preview) is turned on.

When you enable this setting for a given report, all visuals in that report will have this experience on by default. If you want to customize which visuals have this experience, you can toggle on/off this setting per visual in the visual header section of the formatting pane: