There's no built-in mode for constant power. (Nor could there be, on the original Bike that I have, as the resistance control is manual.)
The new one might have it.
At a hardware level I'm not sure how well it would work. Out of the box, the tablet only queries the bike for cadence/power/resistance every 100ms, one query at a time in round robin, so your power reading is only coming every 300ms. However, the bike responds to queries much faster - on the order of 200-300us (https://ihaque.org/posts/2020/12/26/pelomon-part-ii-emulatin...), so an external device could certainly ask for updates faster. I'm not sure how rapidly the micro on the bike itself actually updates its own measurements and what ultimate time resolution is possible.
This can end up chasing you up the cassette if you don't get back on top of it, or you don't adjust the workout bias (ie, reduce the overall power targets to something you can hit).
but you really want this, at least for structured training. It may NOT be important if your goal is "spin at home."
(Someone downtopic seems to think drawing a distinction between "people who mostly ride outside fast in pacelines" and "people who mostly just like spin classes" is somehow snobbery, but I don't see it that way at all.)
The Peloton also has power zone training similar to what you mentioned. With the instructors nattering on in the background, occasionally rotating the dial isn't so bad.
I believe the newer version of the bike does have automatic resistance control, though.