In newer Shopify Themes, you may need to manually enable the Gatsby script on your theme. It's super easy to do so though!
To enable the App Embed for Gatsby, please take a look at the steps outlined in Shopify's help article here: https://help.shopify.com/en/manual/online-store/themes/theme-structure/extend/apps#app-embeds
And watch this brief screencast below: