Why is the Find Nearby option missing on my iPhone?
Why does the Find My app on my iPhone display a "Directions" button instead of the "Find Nearby" button that would display an arrow to where the Air Tag is located?
iPhone SE, iOS 15
Seems the iPhone needs Ultra Wideband (UWB) support with the U1 chip in order to be able to point in the direction where the Air Tag is located.
The 1st iPhone to have Ultra Wideband (UWB) support was iPhone 11.
iPhone SE v1, v2, v3 and iPhone XR don't have Ultra Wideband (UWB) support.
Also, countries like Paraguay, Nepal or Russia forbid the use the Ultra Wideband (UWB).
The "Find Nearby" is not working for any device in these countries regardless of the hardware being installed in the phone.
This article contains more details: https://appleinsider.com/articles/21/05/03/how-to-use-an-airtag-with-an-iphone-se-or-other-iphones-lacking-the-u1-chip