Nintex Forms published in SharePoint 2019 do not have the option in the gear for Edit page (New, Edit and Display).
This was a change made in 2019. The reason being, in 2019 with the Modern Experience, the previous version of the Nintex Form page would not load. In order to overcome this and make the Nintex Form available in both the classic and modern experience, we had to use a custom page that we built instead of the SharePoint page to load the form. The Edit Page option is only available in OOTB SharePoint pages.