Mine's a Canadian 2020 500 Trail HO....so considered the 'base' model. Just has the web doors, no winch, no power steering...
Poking around, the info I've seen is that it doesn't come with it. I see it mentioned in write-ups of 'features' for the 800's and up..and on the US 500's, but not on the Canadian 500's.
I did find it in some parts breakdowns, and it's looking like a pretty pricey chink of plastic to buy through the dealer.