I suspect that option may longer be present so you may have to create a Kobo account to register your device (I'm not up to factory resetting my Libra Colour to check). You do not need a real email address to register so something like
wizardcat123@somewhere.net will work. After your Clara BW finishes the setup, you should then be able to use the sideload mode by adding under the [ApplicationPreferences] header: SideloadedMode=true and restarting your Kobo.
If you connect the Clara to your computer and power up, does your computer make a couple of beeps as the USB connection is created and lost? Assumes your computer gives an audible beep when an USB connection is made. Are you using a USB-A to USB-C cable or a USB-C to USB-C cable?