HI,
It depends on the region to which the BC environment belongs whether "Set up VAT" exists or not.
example1) JP region (W1) has "Set up VAT" wizard.

example2) US region doesn't have "Set up VAT" wizard.

Instead, there seems to be a "set up sales tax".
If you search for "Set up vat" in the US Region BC, you will find "Tax Posting Setup".

If you search for "Set up vat" in the JP(W1) Region BC, you will find "VAT Posting Setup".

These names are different but same page (Page ID = 325) is displayed in both regions.
ex.1) US Region

ex.2) JP Region

I hope this helps you.
S.Kawamura