From the Security & Compliance admin center (https://protection.office.com) , select Threat management, and then select Explorer. From the upper righer corner, click on MDE settings ( As highlighted in the image below). Then in the Microsoft Defender ATP connection dialog box, turn on Connect to Windows ATP.
Note: To turn on this connection, your organization must have a Microsoft Defender for Endpoint subscription and security analysts must have access to Defender for Office 365 P2 and Microsoft Defender for Endpoint.