Ok – I finally got it working.
This interface for adding a Query Loop block and then a Query Pagination block is pretty terrible. I know it’s WP, and not you.
When I click to add a Query Look block, I can make a bunch of setting changes to get the block to appear how I prefer. But when I click outside the block, I can never get back to the Query Loop block. It has been changed to a Columns block. I have no access to change to grid or column layout, or items per page. And I cannot add a Query Pagination block inside it. I had to do this about 6 times before I got performed the sequence correctly.
Additionally – adding a block inside a block is unusual with any other blocks (I think). To my mind, it makes more sense to have a checkbox for Display Pagination in the Query Loop advanced settings.
Sorry for the rant – this is not at all obvious.