Front End shortcode does not work

I am setting up this Download Manager application on a couple websites to see if it is the right direction for our needs. When I use the Front End shortcode provided, nothing happens: [wpdm_frontend]

It simply shows me the shortcode and nothing else. Other shortcodes are working just fine, but not this one. There is something in the instructions about setting the upload page in Settings, but I do not see this in my admin panel. https://www.wpdownloadmanager.com/doc/short-codes/wpdm_frontend-front-end-uploader-ui/

I tried this on a website with no other plugins installed, so I know nothing is interfering.

How do I get the front end form to work?

Thank you!