Good screenshots.
How about attaching a sample document with the problem?
Attach a Sample File Demonstrating the Problem - Here's How
I am using Word 365/2021 in Windows 11 (which I do not care for) but have no problems with the controls for shapes. I get the Pane that you are expecting.
Also, look for a contextual tab to format the shape.
I note that your right-click menu is calling this an AutoShape, not a Shape.
Do you get the same problem if you insert a new shape and right-click on it?