Please run this REG file:
https://1drv.ms/u/s!AjVYLGw0OBWU1WpnKNXpFRTHgXc...
Download and run it. Click Yes to confirm.
It enables the policies using the registry. Here are the contents of the file.
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\WTDS\Components]
"ServiceEnabled"=dword:00000001
"NotifyUnsafeApp"=dword:00000001
"NotifyPasswordReuse"=dword:00000001
"NotifyMalicious"=dword:00000001
"CaptureThreatWindow"=dword:00000001
After applying it, restart Windows and see if the Phishing Protection settings stick.