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Kenny,
Atlassian Cloud does not support LDAP so you will need to use SAML. You can learn more here: https://confluence.atlassian.com/cloud/compare-atlassian-cloud-vs-server-744721664.html
If you have Azure AD then you can use Atlassian Access to connect to it https://confluence.atlassian.com/cloud/user-provisioning-959305316.html?_ga=2.109086725.1287542732.1565792690-1213479325.1559944477
Jira can't know what directory you want to add until you tell it! As and admin, you can add directories in there.
I should have guessed you were on Cloud, sorry. Your doc link is for Server only.
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