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That's very strange.
Which software do you have in your phone? I checked this on 14.1.G.1.534.
Is your phone branded for an operator?
If your phone is locked to a network the software in the phone may contain changes from the operator. It is possible that your operator (network provider) has removed this option in the phones they sell but it seems strange.
What you can try is to make a backup of the phone in PC Companion or to an SD-card and then repair the phones software using PC Companion: http://www.sonymobile.com/global-en/tools/pc-companion/.
If you still don't have the option after making a repair (check before you restore the backup) of the phones software i would recommend that you contact your operator to see if this option is available in the phones they sell.