"This event hasn't been set up on any of your domains. Once Apple begins enforcing their new iOS 14 requirements, ad sets using this pixel and optimising for Complete
registration will be paused unless you change your available events in Events Manager. Learn more"

Go to your Facebook Business Settings (https://business.facebook.com/settings/)

Add your domain

Next follow the instruction about adding a DNS TXT Record.

Finally click on “Verify” to check it. Afterwards the red dot will become green (can take couple hours after the DNS change).