My Nokia has the most recent update and I still don't see the block option for phone calls when I hold down on them. I also can not find the call+SMS option in settings.
CallSMSfilter may not be installed on your phone. It is an app not a built-in feature. Here is the store link - https://www.microsoft.com/en-gb/store/p/callsmsfilter/9wzdncrfj3jf
Install the app and you can find it in the Settings.
In case you are running Windows 10 Mobile, you need to use the new Block and Filter app. For more details see the post How to find new Block and Filter app in windows 10 mobile?How to find new Block and Filter app in windows 10 mobile?