Tabs in Preview not working

MacOS version: 12.0.1

Hardware: MacBook Pro (13-inch, 2019, Four Thunderbolt 3 ports)

I loved how in Big Sur you could open several PDF's and keep them all in different tabs in Preview. However, this does not seem to work in Monterey any longer. When I go to a finder window and command-click on several PDF's and then type command+O (open), I get a window for each file instead of all files in the same window in different tabs.

Here is what I tried:

System Preferences -> General -> Prefer tabs -> Always

And in Preview:

Preferences -> Images -> When Opening Files: -> Open groups of files in the same window

(I thought that would bring out tabs, but it just put different images in the side bar - does not do anything for PDF's )

Any thoughts?

Thanks, Jorge