CONFIG_X86_SGX is not available for thedefaultarchitecture x86.
Result is shown for architecture 64BIT

Software Guard eXtensions (SGX)

configname: CONFIG_X86_SGX

Linux Kernel Configuration
└─>Processor type and features
└─>Software Guard eXtensions (SGX)
In linux kernel since version 4.14.326 (release Date: 2023-09-23)  
Intel(R) Software Guard eXtensions (SGX) is a set of CPU instructions
that can be used by applications to set aside private regions of code
and data, referred to as enclaves. An enclave's private memory can
only be accessed by code running within the enclave. Accesses from
outside the enclave, including other enclaves, are disallowed by
hardware.

If unsure, say N.