Plotly Express is now part of Plotly.py version 4 and so the plotly_express module now just re-exports the contents of plotly.express
If you follow the plotly Getting Started instructions for installation, you will get access to plotly.express.
However, if you have existing code that imports from plotly_express explicitly and you don't wish to change it, you can still install the latest version, which just exposes plotly.express under the plotly_express namespace.
Just running pip install plotly_express==0.4.0 in your terminal should do it!
You'll have to install from the plotly channel with conda install -c plotly plotly_express==0.4.0
Please join our Community Forum or file a Github Issue if you've found a bug.