What does it mean to "configure your MySQL server for utf8mb4 support" when my database charset and collation are already utf8mb4?
You need to put those in your mysql configuration file (e.g. sometimes located at /etc/my.ini, depends on your host) as described at https://docs.civicrm.org/installation/en/latest/general/requirements/#mysql-configuration
[mysqld]
innodb_large_prefix=true
innodb_file_format=barracuda
innodb_file_per_table=true

If you don't have access to that you'll need to ask your hosting company.
At the time of writing (civi v5.30), all this does is make it possible to use utf8mb4, but civi will still install as utf8. After install, you can manually convert by choosing the menu option Support - Developer - Api explorer v3, and choosing Entity: System and Action: utf8conversion and then clicking the Execute button.