To use Remote Play you must enable Remote Features on your console.
If you have already enabled remote play on your console, but the app is still showing the warning "No Console Found", then toggle remote features off and back on again on the console.
To Enable Remote Features:
Go to Profile & system > Settings > Devices & connections > Remote features.
Select the Enable remote features checkbox.
Under Power options, select Sleep.
For more details, see the official Microsoft Docs here: https://support.xbox.com/en-US/help/games-apps/game-setup-and-play/how-to-set-up-remote-play