I want to set up the VPN, but I don't see the VPN setup prompt on my toolbar.

It is location dependent, possibly still only US and Canada

or

The built-in VPN is being introduced to the Firefox user base in stages, through a progressive rollout that currently includes users in the US, UK, Germany, France and Canada. It may not be available to you yet, even if you’re in one of these locations, as the staged rollout takes time to reach everyone.

https://support.mozilla.org/en-US/kb/built-in-vpn

Hello

Use built-in VPN in Firefox. https://support.mozilla.org/en-US/kb/built-in-vpn

Is it, your question

These similar discussions https://support.mozilla.org/en-US/questions/1578744, https://support.mozilla.org/en-US/questions/1578173

And I am in the UK with no prompt yet :)

Current option I have found is the paid for service Mozilla VPN which can be accessed via Settings then search VPN