Hello,
Since you already toggled the multiplayer setting and it still blocks you, we need to check a couple of specifics about your account setup.
Are you by any chance in a Microsoft Family group as a child account, or is the birthdate on your Microsoft account set to under 18? If either of those is true, changing the settings yourself won't actually apply even if it looks like it did, because the parent or organizer of the family group has to log into their own account to change it for you.
Also, are you absolutely sure you are logging into the exact same Microsoft account in the games as the one you used to adjust the privacy settings online?
Let me know so we can narrow this down.