My site is installed in a subfolder but the domain points at the root. Consequently, the htaccess file is in the root. Wordfence looked for the htaccess file in the subfolder where WordPress is installed when I tried to activate the Falcon engine. It reported that there was not such file and could not activate the Falcon engine. I think this is an oversight.
As a workaround, I made a copy of my htaccess file in the subfolder where WordPress is installed, then activated the Falcon engine with worked as expected. After it wrote the htaccess file in the subfolder, I moved it back to the root. It seems to be working fine, I can indeed see a performance improvement. Thank you.