Wordfence tries to download the latest firewall rule set from its CDN. The request uses the WordPress HTTP API, which first resolves the host name. If the server cannot translate the host name to an IP address, the request aborts and the plugin shows the error.
The failure usually stems from a broken DNS resolver, blocked outbound traffic, missing IPv6 support, or corrupted networking libraries. The plugin reports the problem as a DNS resolution error even when the underlying issue is a firewall rule or proxy misconfiguration.