Hi @ChaseYu, you're close! Tap Messages as shown in your screenshot here:
Once you press Messages, you'll see an option for "Vibrate", with a toggle for off and on. I hope that helps!
OMG! I have no idea that I can get into another settings page once I tap on that. I didn't even know that it could lead to another settings page! I thought that I even trigger it off or on. Da.mn it Sony or Google!Goddamn it! I didn't know that I can tap on it to get into this setting page!