Judging by what is true for my apps that want to store data, this setting comes with the App and is not part of the system. As I have no whatsapp, I don’t have a clue, if and where such a setting might be to find.
I did some searching on ecosia.org and happened to find this information (my own translation):
"Unfortunately, there is no WhatsApp setting on Android to store data like pictures and videos on a SD-card."
This german article explains what to do on a rooted phone, to achieve this goal anyway:
https://praxistipps.chip.de/whatsapp-daten-auf-der-sd-karte-speichern_12941
Therefore: No root, no storing on SD-card.
(Information valid as of March 2nd 2018.)
Or maybe some of the tips given on the following page are for you.
There seem to be solutions even for non rooted phones.
https://www.quora.com/How-can-I-make-my-SD-card-as-a-default-storage-for-the-WhatsApp-media
or this one (seems the answers are pretty much alike):
https://www.quora.com/How-do-I-let-WhatsApp-store-data-directly-to-a-micro-SD-card
At least you are not alone.