Hi, and welcome to Zorin OS!
You're not missing anything. There is unfortunately a bug with the current version of Samba that Zorin OS 18 ships with, which is still unresolved.
From what I've seen, you can get it work by going the hands-on approach and editing the configuration files directly, though. But the GUI integration is still broken until further notice.
If you really need this functionality, and you're willing to mess with it a little bit, you can take a look at this thread for some ideas of what people have tried (with mixed results). I haven't yet tried it with another Windows machine, so I can't really say if that'd work.
The other option is to install Zorin OS 17, which is still supported until 2027. Save for a few new features available in Z18, everything should be mostly the same.