"Safari opens with..." gives only 2 choices in Safari 14/Catalina

I had been using the beta of Safari 14 for Catalina 10.15.6 and the GM was installed earlier this week. In the beta and now in the finished version, I only get two options: "All windows from last session" and "All non-private windows from last session". In previous versions of Safari, I also had "A new window" and "A new private window".

I created a test account in Catalina on this 2020 iMac and I see all four options there in Safari 14.

I have combed through the settings and can't see anything that would limit my options. What am I missing?

Thanks.