The the new Advanced Data Protection feature has some caveats.
First and perhaps most relevant to your issue - ADP cannot be enabled immediately from a recently activated Apple device; as illustrated in your screenshot, there is a waiting period before this enhanced protection can be activated. However, it is understood that you should be able to immediately enable ADP for your AppleID account from a existing compatible device already associated with your AppleID account.
ADP can only be activated for an AppleID account if all devices that are signed in to iCloud with the same AppleID have been updated to meet minimum requirements (for iPhone and iPad, this being iOS/iPadOS 16.2). If any devices do not meet minimum requirements, you cannot activate ADP for the account.
ADP is currently only available in the US - with more regions/countries being added during 2023. Apple’s regional server infrastructure must themselves be updated - in addition to which some countries will not permit end-to-end encryption.
Some additional information about Apple’s Advanced Data Protection can be found here:
How to turn on Advanced Data Protection for iCloud - Apple Support
Also:
https://apple.news/A9dTzeL5sTLaRwYnKWcc-SQ