That means it is built into the processor?

Yes, it is integrated in the processor.

The "Pro-VDH (AM4, AMD B550, mATX)" motherboard from MSI does not support TPM 2.0 directly via a physical TPM module, as it is based on AMD's fTPM. AMD's fTPM is a firmware-based TPM solution that is integrated into the processor and does not require separate hardware. To enable TPM 2.0, you must activate the AMD fTPM switch in the BIOS settings.