Try running it with the full path to the binary. If that doesn't work it could be because the device is MDM enrolled via DEP but the binary got uninstalled or never was somehow. In that case you'll need to re-enroll the device so the binary is reinstalled.
sudo /usr/local/jamf/bin/jamf policy
We just upgraded JAMF Pro to 10.26.1 and are testing our clients. Catalina is not experiencing any issue with enrollment nor functions with JAMF Pro. However, Big Sur is having an issue. We are using our on prem infrastructure url to enroll https://mycompany:8443/enroll The Cert and MDM are installing fine - all the config profiles come down, but Self Service never installs and there is no /usr/local/jamf folder. No JAMF commands work, yet I see no errors. Not seeing this behavior in 10.26.0
I didn't have the Jamf Binary, it was a problem with one of the config profiles that was pushed to the MacBook air. The specific setting that would cause the jamf binary and self-service not to come down was in Computer< Configuration Profiles< [select the profile]< Restrictions and then in the "Applications" tab on the Restrictions section I had "Require Admin password to install or update apps" checked on. This had to be unchecked for the jamf binary to come down.