The three steps I went through on the X-T4 were:
1. Go into Menu, Drive Setting, BKT Setting, Film Simulation BKT and select the three simulations.
2. Go back into Menu, Drive Setting, BKT Setting, BKT Select, Film Simulation BKT.
3. Switch the camera to BKT mode
Then it took a single image and generated the three images.
If you're doing that and it's not working I'm not sure what could be wrong.
Does it work on other bracketing modes?