Please make sure you have followed below steps to complete the Identity Profiles setup as per document.
Setting Up Identity Profiles
Go to Admin > Identity Management > Identity Profiles.
Select Create New.
Enter a name for your identity profile. As a best practice, describe the source for this identity profile.
Choose a source from the dropdown list. This source will become an authoritative source, and the source’s users will become identities in Identity Security Cloud.
Enter a description for this identity profile.
follow until below step then you can expect the identity.
Select Apply Changes in the bar at the top of the page to apply your changes to the identity profile’s identities.