Well, it has a reason... It just won't show what the reason is 😒
After a fresh install, you may end up with a warning sign on the Windows Security tray, for no apparent reason. So, you double click the warning, and go through all your security options... and nothing shows. And the warning doesn't tell you what's going on.
All over the place
In a great example of Windows 11 logic, the setting that causes this warning isn't there, it hides somewhere else...
2. Privacy & Security
3. App & Browser Control
4. Reputation Based Products
5. Potentially Unwanted App Blocking
6. Either 'Dismiss' or 'Switch On'
In your case it might be one of the other options. You'll have to go through all of them step by step.
Not on by Default?
I've just switched it on. Under Windows 10 it was supposed to be on by default. In this fresh install of Windows 11 it's off, so I switched it on. If it will cause troubles down the line I will find out... Probably after figuring out yet another cryptic error message and digging through the mess that is Windows settings...