Through the left menu, add a plugin in Channels ⇒ Live Chat and then set the related information in order, such as banner title, brief introduction, etc.
Note here that for the Allowed Domains setting, please enter the current domain from Shopify, such as xxxx.myshopify.com.
After configuring and adding, copy the code on the Embed Code page — you will paste it into Shopify later to embed the live chat.