Ok, guess I'm on my own with this.

try clicking ok to end the message.

Others complain about having to press ok or whatever to close the tutorial message. I thought it was going to end the tutorial, so I debated pressing the button on the message. Hope I said this enough ways to inform you to press the button to close the menu message in the tutorial.

Are you switching targets by untargeting then targeting the other enemy?

You have to hold R1 then move the right stick while locked on to an enemy to swap targets.

(Q + scrollwheel up or down for kbm)

No matter what button I seem to press, even the right or left stick, it doesn't seem to register that I have followed instructions and switched targets.

I do thank you both for replying.

I am aware it is an old thread but maybe it will help someone who recently bought it:
You need to change your ingame controller setting for switching between the enemies to the other available option.
I managed to get through the tutorial with this. Still, I would not call this game working 'out of the box' with Steam Deck - it seems Bandai Namco did a really poor job with controller mappings and my guess is it will make the game really difficult if not impossible to finish on Steam Deck.