Hi,
Thank you for the answer. I managed to get a response from support who explained the documentation at https://www.gravityforms.com/blog/stripe-add-on-v5-0-release/ was actually wrong. I really hope they update it as this is quite annoying to be misled like this to be honest.
Klarna is only supported via a third party add-on: https://www.gravityforms.com/add-ons/klarna-payment-gateway/ which support helpfully pointed me towards. It has solved our situation.
Thank you