Yale Conexis L1 - “Not using high security”

You lock hasn’t paired correctly according to your screenshot. Do a factory reset and try again keeping your lock within about 2 ft of the hub while pairing it.

The table that @GSzabados was referring to which compares lock features can be found here at the bottom of the first post:

If you want your lock to use the S2 security (assuming your z-wave module supports it), then you need to select Generic Z-Wave while pairing your lock with the hub (not scan nearby).