I will do a manual firmware update when I am home again. If the horizon leveling was only added in a later firmware version it would explain why the option is not available on my GoPro. It would be a surprise to me that Gopro would have actually shipped cameras without this feature available as it was one of the main reasons I upgraded to the Hero 9. When I have completed a manual firmware upgrade in a few day's time, I will update this post to let you know if it fixed my problem.
I have now returned home and installed the firmware update. I am pleased to report that horizon leveling is now available and appears to be working. I am still amazed that Gopro released the Hero 9 without this feature enabled, even though it was supposed to be one of the most important updates to their camera.