You're not going to get an app notification unless your truck has Phone As A Key. Walk away lock for non-PAAK trims is based on the key fob and likely has nothing to do with the Ford app. The vehicle horn is the notification, in my personal XLT experience.
It's a very common practice in software development to enable or disable features for a subset of users during testing using feature flags - which can be flipped server side. In these instances, the user doesn't do anything to trigger.
This is not the release that Brian mentioned above (even though these release notes do mention Walk-Away Lock). The newest release rolling out now will mention toggles for Walk-Away Lock in the release notes text. So your truck has yet to receive the latest Walk-Away Lock update.