Thanks a lot for your reply.
In the link you provided, it is part of a "version" message, used to initiate a connection. It is enable by default and means that you can provide some part of the UTXO set if someone (which would be a SPV node) requests it.
I was also assuming that it should be enabled by default, as I cannot find any parameters to set it in bitcoin.conf.
However, when I executed "bitcoin-cli getnetworkinfo" I got the following:
{
"version": 170100,
"subversion": "/Satoshi:0.17.1/",
"protocolversion": 70015,
"localservices": "000000000000040d",
"localrelay": true,
"timeoffset": 0,
"networkactive": true,
"connections": 66,
"networks": [
.
.
As we can see, the "localservices" is shown that the 2nd bit is not set (0x40d instead of 0x40f) which means that my full node does not support NODE_GETUTXO.
It seems that Bitcoin Core for whatever reason does not support it.