I may have answered my own question. I went through the entire process again and created a component from scratch. I kept it simple with two pins. I have tried all of the options in the editor but then noticed a button on the menu bar.

So with the component selected, I clicked this button and it let me add the symbol! This is not mentioned in the tutorial videos as they obviously pre-date the feature. The Attributes are also accessible from the button next to it so you can add the footprint and the 3D model.
With all the elements in place, you can then go to the "Connect" menu.

...and connect the symbol pins to the footprint pins so that they will play nice in the design environment.

Seriously, the mods here should not be referring users to the outdated tutorial videos. Further, as a suggestion, the component creation workflow would be improved by a setup where you
1. Create a new component.
2. Have a right click menu that allows you to create a symbol that is automatically associated with the component
3. Have a right click that allows you to make a footprint that's automatically associated to the symbol.
You can already right click to make a 3D model that's associated with the footprint so that's good.
The final outcome should be a component that has all of the necessary elements nested in it. I understand that some pin connecting might need to be undertaken but surely if the user named the symbol pins and the footprint pins the same, some automation could be applied to speed things up.