Dashboard warning: No Trusted Network or Host Defined

I can not seem to remove the warning about no trusted network or host defined. I am 99.99% sure I have defined both, inside Firewall - Zones. But the warning keeps being there. Am I missing something?

Try clearing it (the error) from the dashboard.

If it comes back, you haven’t set up the integrated firewall correctly. If it doesn’t, it’s an old message.