With Pentaho CE you don't have the Authentication menu option shown in the official Pentaho Documentation, you have to scroll down to set it up manually, go to the Manual Configuration section:
https://help.hitachivantara.com/Documentation/Pentaho/9.2/Setup/LDAP_security
Also, this refers to an old version of Pentaho, but it will probably still apply:
http://diethardsteiner.github.io/pentaho-server/2014/11/08/LDAP.html
This thread in the old (killed forum) might help too:
https://forums.pentaho.com/threads/153221-LDAP-configuration-migration-to-Pentaho-5-0-1-CE/