"Set Up Web Chats for Your Console" cannot find Omni-Channel.

@Duru Zerdali screenshot shows you are already in the right place:

App Manager -> Ursa Major Solar Service Console -> Utility Items -> Add Utility Item

If Omni-Channel is not appearing in that list, it usually means Omni-Channel has not been enabled yet in the org.

Go to: Setup -> Omni-Channel Settings -> Enable Omni-Channel -> Save

Then refresh the App Manager page and come back to: Ursa Major Solar Service Console -> Utility Items -> Add Utility Item

Now search for Omni-Channel again and add it.

Salesforce’s help confirms that Omni-Channel must be enabled first: 

https://help.salesforce.com/s/articleView?id=service.omnichannel_enable.htm&type=5

Trailhead’s step then asks you to add Omni-Channel from the app’s Utility Items section: 

https://trailhead.salesforce.com/content/learn/projects/set-up-the-service-console/set-up-web-chats-for-your-console

Also make sure you are editing the Ursa Major Solar Service Console Lightning app, not a standard app. Your screenshot shows the correct app, so the missing piece is most likely the Omni-Channel enablement step.