I had the same issue and found out it’s been released in Gutenberg 9.3 which is included in WordPress 5.7 only. We updated to 5.7 and it works as described in the docs. If you are stuck with WordPress 5.6, I think you could install the gutenberg plugin to benefit from the newer versions (https://wordpress.org/plugins/gutenberg/).
(this PR introduces the feature: https://github.com/WordPress/gutenberg/pull/26346)
Cheers,
Hugo
