The Surface Pro X is an ARM-based PC, which means that it has a different kind of processor than your normal PCs. Antivirus programs(most of them) won't run on a ARM-based PC.
You can always use the default windows defender application to protect your PC from viruses and other threats.
More about what will and won't work on the Surface Pro X can be found here,
https://docs.microsoft.com/en-us/surface/surface-pro-arm-app-performance