Thanks for asking.
You can ignore this screen, it was a feature that was started but unfortunately never finished. I think the best thing for us to do will be to remove it entirely in a future version. Some previous discussion: Security page feedback and improvements
Security plugins are not strictly necessary: I do not use them on my sites, instead I prefer other measures like making sure all users have strong passwords. Many people do find security plugins helpful though, and it if gives you peace of mind then that’s not a bad thing. As Arjay says, Shield Security is a good option for ClassicPress, and they can help with any issues you might have with their plugin.