Currently the setup guide gives you version 0.2.0 which is from Dec 29, 2021 since the newest version is not released on rubygems. My workaround is to fetch the source from git directly:
gem 'fastlane-plugin-datadog', git: 'https://github.com/DataDog/datadog-fastlane-plugin.git', tag: 'v0.2.1'