Starting in version 1.6, security is a feature of the Pentaho BI Platform. Prior to this version, security was only available in the Pentaho Professional BI Platform (now called the Subscription Edition).
Furthermore, this document is relevant only to the Pentaho Professional BI Platform version 1.2.1 or later or the Pentaho BI Platform version 1.6 or later. See the Pentaho Professional BI Platform version 1.2.0 security documentation if you're using Pentaho Professional BI Platform version 1.2.0. (You can find the version you are running in several ways: (1) look at the log when the Pentaho BI Platform starts or (2) look at the bottom right of any page within the Pentaho BI Platform.)