SQL Machine Learning Services- R Services Error

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I am receiving the error of:

Feature 'Advanced Analytics Extensions' is not installed

When trying to get the Machine Learning Services set up in Sql:

https://learn.microsoft.com/en-us/sql/advanced-analytics/r/set-up-sql-server-r-services-in-database

I'm trying to execute the code:

 EXEC sp_configure  'external scripts enabled', 1
 RECONFIGURE WITH OVERRIDE

I am very confused because I have the R-Services (in database) feature downloaded and "Advanced Analytics Extensions" is not even an option as seen below:

Feature Options

I have been stuck on this for quite sometime and not been able to find a solution.

Can someone point me in the right direction?

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Niels Berglund On BEST ANSWER

Based on the question in my comment above, make sure you are running sp_configure on the actual instance where you have SQL Server R Services installed.