Just got this email back from Marketo support:
The Event Goals feature is a sub-feature of the 'Premium Events' product. You will need to work with your CSM to have this feature enabled as it is a paid add-on.
Let me know if you have any questions.
Apparently, the release notes are not correct as this is not a "core service" but instead a "paid add-on".
Hi Ajay -
I apologize for any confusion. In an effort to make it more clear, I have updated the Release Notes in Community to reflect which features and product areas are paid add-ons and will make sure to do so moving forward.