If its provider/carrier related you should ask your provide guess.
Just to be sure
You checked under SETTINGS than APPLICATIONS (Not system) . There you see a list starting with
and under phone you looked?
As stated above, not having the option means it is disabled by your carrier.
I have an L520, and am in the US using AT&T. I have the option there.
There is a "press and hold" pop up choice for "Show My Caller ID to", with the choices being "Everyone, No one, My contacts".
If that isn't available, then the carrier has blocked it, and you'll need to speak to your carrier about it. Laws about blocking your caller ID may vary from country to country, so that may apply as well.
In the part that says, "Show my ID to", there is a rectangle that has the word, "everyone". Press and hold "everyone" to get the choices, if you have them. You'll see this type of options all over the place in WP.