It looks like SQLCMD is not included in SSMS 18.4. I upgraded from a previous version which is likely why I still have it on work computer.

I'm downloading SSMS now on my personal computer. Hang tight.

I don't have a button for it either in the newer version. This is how I got to it. You have to have a query window open to get the...

I can't speak to why it's missing but you can download the SQLCMD utility from Microsoft's website.

SSMS does have SQLCMD mode, when you're in a query window, click Query at...