If you click “shade auto-smooth” Blender will automatically add the smooth by angle modifier for you. You can then set the desired angle at which the smoothing kicks in there.
Auto-smoothing has undergone several revisions between 4.0 and 4.2, so it can get confusing, but that’s how it is now.
If it’s too confusing for now you can always download the Blender version used in the tutorial to follow along. You’ll learn to spot the differences and how to solve them with more experience.
