I downloaded the latest Mac update yesterday and turned on Siri and Apple Intelligence. It started to download, but never appeared to complete the process. After several hours I knew something was up. I was able to get past this by going to: Settings -> Apple Intelligence and Siri and change the language to something other than English (US). Then I changed it back to English and the process completed with no issue and I am up and running with this feature. So if anybody else is having issues with this, you might try this to see if it helps.
15.2 and Apple Intelligence