That is actually a slightly different option and new in Pro. It creates separate label classes automatically based on symbol classes.
This, however, is not the same option as Jamal NUMAN pointed out. In ArcMap, the “Define classes of features and label each class differently” is just a generic option to create multiple label classes with e.g. distinct SQL Queries to select certain features to label, it isn't tied to the symbol classes perse (although you could manually set it up to replicate the symbol classes).
To access the same functionality in ArcGIS Pro, open the Label Class pane from the ribbon, and access the menu option to create/rename or delete label classes, see screenshot.
![](/legacyfs/online/482493_pastedImage_3.png)