what is the purchase feature that includes Multiple Budgets as I do not see Multiple Budgets as an option on the Enable Feature page at Setup > Company > Setup Tasks > Enable Features?

It's in our account on the accounting subtab

yep, that's where it should be. your screen shot does give me some inkling that it may be part of Advanced Revenue Management. One of my other accounts has ARM and they have Multiple Budgets feature.

I think it's part of Advanced Finacials

Should be able to just create a new budget category and you can make unlimited budgets. The default is Legacy but I create a new one for each monthly forecast & AOP