 As Windows 11 is new, may be in near feature it should be available but we don't have any update yet or ETA 
I have a Dell G15 Ryzen 5 5600H RTX 3050. When I installed Dell power manager it said that "My Dell" is already installed and you should manage power options from there. But in "My dell" under Power section there is no Thermal Management option. Because of this I am unable to set my laptop on High performance mode. There is just one option in windows power option that is "Balanced" , so I am just unable to shift to High Performance mode.
No thermal management option in the "My Dell" software.