Had exactly same issue as you did. Looks like documentation for "Local - no Docker" missing some steps.
To solve the issue you need to fallow some steps from Host OpenZiti Anywhere section. To generate and start requested services fallow systemd command sets:
I think openziti has extensive documentation, more than most projects I've seen in my years.
But there is always a battle against "mego" (my eyes glaze over) re. where an author unintentionally makes assumptions about what the reader "just understands" when reading the text.
Example: for a user installing "Server Anywhere" and setting the environment variables.
Do they need to be aware of running as sudo/root or their normal UserID to avoid a mistake?
Or should those ENVs be set in /etc/profile for "all" users?
In Cloud servers or Container environments (Docker, LXD, Incus, Kubernetes) when you login in initially you are "root"? If later, non-root Users are added, those ENVs might be required for their use.
Do later openziti installation commands by root/sudo utilize those ENVs or are just command executed as "non-root"?
Anyway thanks for all your dedication to openziti.