On Android 10 system dialog is used when ENABLE or CHANGE button is pressed for folders selection and permissions.
That system dialog can be previously disabled by user or can be missing from some ROMs completely.
Please ensure, that following system app exists and is not disabled on your device (you may need to select some option to show all apps / system apps):
You can also restore that system dialog functionality by installing Files by Google app from Play (https://play.google.com/store/apps/details?id=com.google.android.apps.nbu.files&hl=en)
Build 866+: If system dialog can't be restored due to any reason, you can use Settings / Misc / File Access Legacy Mode.