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this is the only option present in the sharing preferences screen

This is a screenshot of your desktop app, right? Connecting Deezer and Last.fm only works in the web player:

https://www.deezer.com/account/share

See also the Deezer Scrobbling FAQ on the Last.fm support forum:

https://support.last.fm/t/deezer-scrobbling/177

Note that scrobbling will only start after connecting both accounts successfully, it will not show your old Deezer data before that date.