Welcome to the Shopify Community! I'm not sure of the documentation you are following to activate Sezzle on your Shopify store, but there is a great help document made by Sezzle on how to add Sezzle to Shopify. I recommend following this document, and reaching out to Sezzle directly if you have any questions. Sezzle is not listed as an App in the Shopify App store and according to their instructions, you'll need to add Sezzle as an Alternative Payment method.
Are you using Shopify Payments as your payment gateway? If you are, we also have our own Shop Pay Installments so customers can split their purchases into 4 equal payments. Just another option for you that I thought I'd mention.
Let us know if you have any further questions!