No encuentro la opción Wifi Direct en los ajustes

En realidad no hay ninguna opción así. No existe. Hubo muchas quejas sobre la actualización 4.0.4 para Live with Walkman que Wifi Direct is missing .

mira aquí .
Mira también esta reseña de actualización..:

First of all thanks for the wonderful update and congratulations.  
Few things i would like to share with sony:  
1. We cannot uninstall Appextra from the phone at all and should have that option  
2. Phone dialer is laggy it takes almost 3-5 sec to open the dialer plz fix that  
3. really time to update the kernel to 3.0 as i have ssen the ICS running on kernel 3.0 with same hardware specification as Xperia 2011 portfolio has and the phone runs better than it is currently running on 2.6.32.9-pref version  
4. Wifi Direct option is missing as its a feature of ICS 4.0.X fix that in next update so that we get that option as well  
5. please provide us option to move some of the internal app to sd card as it will save more space on phone memory.  
6. when tried to update the inbuilt application such as liveware manger Error Unable to do that it says “An existing package by the same name with a conflicting signature is already installed.  
7. Google talk application sometimes says we are offline even though we are not.
8.live wallpaper gets force close all of a sudden many times.  
9.screen shot option is complicated and should be in the same way as it was in GB  
10.photos when viewed from xperia gallery should provide more detail info for the photos and videos as it shows in galary app.  
11. A normal sound recorder application should be their to record voices or conversation
12. A file manger application should be their. 

Puede que sony lo arregle en la próxima actualización.

Intenta ir a la página de configuración de tu wifi. Cuando estés en la lista de conexiones disponibles puede haber un botón en la parte inferior de la pantalla titulado "Wifi Direct".

Así es como es en mi S3 de todos modos