Had the same issue. According to this article: https://www.seosteph.co.uk/analytics/tracking-page-path-location-in-ga4-user-explorer/

1. In GA4, head to your chosen property’s Admin > Custom Definitions
2. Click the big blue button to create a new Custom Dimension
3. For Dimension Name, type in Page Location. This will be the name used in the reports.
4. For event parameter, this needs to match the parameter being tracked on the site so enter page_location, as shown below, or you can select it from the dropdown

Note: This configuration will apply to data collected after the custom dimension is set up; it won’t retroactively include page locations for past events.