Check the service is available where you reside and ensure your online Sonos profile is set to the correct Country settings. Also see these links to perhaps assist…

https://support.sonos.com/en-us/article/set-up-amazon-alexa-with-a-voice-enabled-sonos-speaker

https://support.sonos.com/en-us/article/set-up-an-amazon-alexa-device-to-control-sonos

Assuming that you are in a supported location as ​@Ken_Griffiths has detailed, can you temporarily uninstall the Amazon Shopping App and re-try adding Alexa. Once the account linking process is complete, you can reinstall the Amazon Shopping app.

This works.

But, why is this a thing? It's crazy that it took me hours to find this answer, I see a lot of comments for months saying the integration does not work and there's is still not a fix just this workaround?

I regret purchasing from Sonos, the sound is excellent but the system is really disappointing.

It's related to an Amazon authorisation issue, I don't have any information about if it's an Amazon or Sonos issue to fix. Removing the shopping App forces the authorisation to use a browser approach rather than an Amazon App process.

I don't know the details but this could be an issue with the Amazon shopping App.