No Checkboxes - Microsoft has changed the User Interface and added a new Setting
File > Settings > Mail > Message list > Layout > How do you want messages to appear in the message list:
- Sender images
- Checkboxes
- Name only
And if you had previously turned off "Show sender images", it defaults to "Name only" which doesn't have checkboxes.
You can also use the [Select] button above the Message List to temporarily show the Checkboxes.

If you don't have the new Setting yet:
If "Show sender images" is enabled at File -> Settings -> Mail -> Message List -> Layout, you won't see Checkboxes unless you hover over the "sender image" (picture or Initial), or use the "Select" button,

Turn OFF "Show sender images", and you get the Checkboxes back.

Thanks to Reddit User sprkls, who first reported the UI change and the new Settings.