The “Firewall WAF” is a special page inside the plugin that is only intended to be used by users with a Sucuri account, I copied that page from the “CloudProxy WAF Plugin” [1] to facilitate the support for our premium clients.
Following this idea we can say that the plugin is divided in three parts: non-key features, key-based features, and firewall features. You can choose to not associate your site to Sucuri at all by using the features that do not require an API key, if you want to use the file monitor then you will need to generate a “free” API key (which you just did).
If you want to use the firewall then you will have to sign up for a premium account [2] because the plugin will only act as a control panel for CloudProxy [3] which is the service hosted in the Sucuri servers that will protect your site against attacks. Or you can opt to install a plugin that simulates the functionality of a firewall, it will not work 100% of the time but at least it will be free.
[1] https://wordpress.org/plugins/sucuri-cloudproxy-waf/
[2] https://sucuri.net/website-firewall/signup
[3] https://sucuri.net/website-firewall/
[4] https://wordpress.org/plugins/search.php?q=firewall
