Other than the required licensing, please check that the below requirements are met https://learn.microsoft.com/en-us/intune/intune-service/protect/epm-overview#requirements and verify that the OS is a supported versions: -Learn about using Endpoint Privilege Management with Microsoft Intune | Microsoft Learn

Additionally:

• Deploy an EPM Client Settings policy that enables EPM

• If you do not have a default elevation behavior property set in the EPM Client Settings policy above, then ensure you have at least one Elevation Rules policy properly deployed

• Check the following registry key:

  1. HKLM:\SOFTWARE\Microsoft\PolicyManager\current\device\DeviceHealthMonitoring\ConfigDeviceHealthMonitoringScope contains "PrivilegeManagement"

     1. If "PrivilegeManagement" is not included:

        1. Ensure you have EPM client Enabled in EPM Client Settings, and it is assigned to the device.

        2. Restart IME (Microsoft Intune Management Extension) service > check registry value again

           1. Currently Sidecar requires a restart before it picks up EPM policies, this will change in the future.