Thanks for your reply Robert.
Nope. That option is not available there. I took a screen capture, but it doesn't look like I can upload images here. The only options that are available are: Mark as read, Mark as follow-up, Delete Message, Move message, Prefix subject, Add Header, Copy message, Reroute message, and Set Priority.
I know that option used to be there because it still shows up on some older rules. But it's no longer available in new rules. Can you see it in your settings? If so, then there must be a way to turn it on and I just haven't been able to find it. (Though I never turned it off to my recollection.)