To Increase Max Soul Orbs, you need to ASSIGN those stat points to it. It's the yellow bar, divided into four, on your stat page. You can't assign one point at a time until you have enough, but need all the points necessary on hand. This means a lot of hoarding and is generally not recommended for lower-level players.
    <---- It looks like this.
A lot of players only fight with three orbs, since that's all they use. Personally, I have five orbs, thanks to the free reset they allowed when the new stats were released.