It’s part of the widget system so you’ll find it under Appearance > Widgets.
Well, no, actually you won't find it. Apparently you have to create it.
I have two forums I'm upgrading. One I was already running XF on, and MG1. It had the widget in place, which I set up in the MG1 preferences, since i didn't know widgets existed. When I upgraded to MG2, that widget was migrated.
The second forum I installed XF1 and MG1, migrated my content, and then immediately upgraded both to 2. When viewing the widget list in that one there was no media slider widget available. When I viewed the widgets on my other forum, it was available on that one. Both have no customization other than installed XFMG2, so in theory they should be identical. I can only presume MG1 created the widget when I changed settings.
So, I compared the two, figured out I had to create it, and used the values from the one on the forum where it was working. But there really should be better documentation. That was way too hard to figure out.