Hello,
The problem has resolved itself. Something that I missed to mention is that I was moving my domain from one host to another. The new host had a temporary domain name (using the IP address and part of the domain) and it seems Wordfence had trouble with that configuration. Once I finalized the move and changed the DNS pointers to the new host the Wordfence firewall started to work in extended protection. All is good now. You might want to pass that info to the developers in case they are not aware of it.
Thanks,
Jose