I wrote slightly better version of instructions. It basically explains the install procedure a bit better then the docs I pointed you to before, however how you are supposed to compile it without installing a bunch of packages on dom0 is not obvious.
The new version is here:
While looking at the .config file, it looks like SELINUX might already be enabled in the kernel, and may just need to be enabled in the distribution.
Confirmed:
user@debian-11:/sys/kernel$ zgrep -i selinux /proc/config.gz
CONFIG_SECURITY_SELINUX=y
CONFIG_SECURITY_SELINUX_BOOTPARAM=y
CONFIG_SECURITY_SELINUX_DISABLE=y
CONFIG_SECURITY_SELINUX_DEVELOP=y
CONFIG_SECURITY_SELINUX_AVC_STATS=y
CONFIG_SECURITY_SELINUX_CHECKREQPROT_VALUE=1
# CONFIG_DEFAULT_SECURITY_SELINUX is not set
So you probably just need to enable it from inside the qube somehow. (or maybe a boot parameter?)