Windows Firewall and SEP are both turned off message on Windows 10

Hello all,

We found following issue (or maybe fake alarm) on Windows 10 machines only. When user login to the machine following popups appear (on some machines firstone  on some other second one):

As you may see SEP is working ok (with green dot), so it seems like a fake alarm. 

We use SEP version 12.1.6 MP5. We have full package installed on or machines: with Proactive Threat Protection and Network Threat Protection (including firewall and IPS). 

Have anyone saw this popups and know why they appear if SEP is working properly? Does someone know how to fix it to not show this messages to our users?

thanks in advance 

Best regards