If you do not see the KYC link in the "Actions Required" sidebar, it means you have not whitelisted your wallets. Whitelisting the wallets ensures that only the wallets you give permission to are allowed to be operated on by your Sentry Wallet. Once you complete the steps to whitelist your wallets, the KYC link will appear for each wallet you have whitelisted.
Here's what the KYC alert in the "Actions Required" sidebar looks like when you have not selected wallets to whitelist:
Once you have selected the wallets you want to whitelist, you will see the KYC alert with the "Select your country" dropdown option and the "Begin KYC" button like this: