Have you enabled this in the phone settings? The steps to do that are at the bottom of the page you linked to under "To change settings for Find My Phone":
In the Settings app, scroll down the list (it's not alphabetical), and below "apeech", you'll see "find my phone".
Click into that, and ensure that at least "Save my location every few hours for better mapping" is checked.
The documentation also states the following about the "Connect to these features more quickly" option:
The Find My Phone service uses text messaging to send commands to your phone. Tick this option to use push notifications instead. Why? Push notifications can be faster than text messages and if your mobile operator charges you for each incoming text message, push notifications might also be cheaper. Also, My Phone can only send 15 text messages to your phone in a three-day period. With push notifications, there's no limit.
Note that on top of this, not all features are available in every region/country. See Windows Phone Features and Service Availability for more details.