What you did was correct. And it appears that you do have OSPRay in your build. One way to verify is to change from Surface to Wireframe representation and toggle Enable Ray Tracing. The ray tracers draw lines as cylinders so the appearance is noticeably different when you zoom in.
You do not have any Materials to choose from because a ParaView build by itself does not include any. The superbuild path that @nate_develder recommends does and it puts them in a location that the ParaView executable looks for by default.
The superbuild’s 8 sample materials come from here: https://gitlab.kitware.com/paraview/materials
download those some where on your machine and use File -> Load Path Tracer Materials…" (Load OSPRay Materials in older versions) to make them available in your build. @Marston’s more comprehensive set of materials can be found here:
Large OSPRay Material Database