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For some reason it doesn't work for me. I ticked it, then I tried to click on the Map (M) but nothing happens?

Once you activate the feature.... hit CTRL+SHIFT+LEFTCLICK anywhere on the map. Important if you are in a zone that does not have a nav mesh, make sure the "use nav mesh" checkbox is cleared, when this box is checked you will land either in the air way above or way below unless you actually have a mesh for that zone.