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Service Setup Not Available in Lightning Experience
I'm Logged in as a System Admin but I am not able to access Service Setup.
https://success.salesforce.com/issues_view?id=a1p3A0000001D14QAE

https://success.salesforce.com/issues_view?id=a1p3A0000001D14QAE
To set up a Lightning Service Console:
Customize Application
AND
+Service Cloud User permission at the user level is require d
I guess its an instance-specific issue. I will say Create a new developer account and see ...
https://help.salesforce.com/articleView?id=console_lex_service_setup.htm&type=5