I followed your lead and I now have the option. THANKS!
For those that don't have it, try it out. Settings --> Advanced --> Turn off Auto-download MMS. Go back and click the 3 dots. You can turn on auto-download once you have Messages For Web.
The app just updated to 3.3.044, but the option is not available like some here have reported. Is there another waiting period, or is there something I need to do?