At this stage of the game it appears that not everything has been migrated to the new Office 365 Administration Console. One of the things that is missing is the Customer Lockbox configuration (which is available with the E5 plan).
To get to the old admin center select the button in the top right of the Office 365 Admin center preview screen. Once you have done that, follow my previous article:
When you have enabled Customer Lockbox according to my article, select the orange bar across the top of the Office 365 admin center to revert back to the new Admin center preview that you started out with.
I would assume that the control of Customer Lockbox will eventually make its way into the new Admin portal but for now you’ll need to go round the long way to configure it.