When the options won’t save that usually points to an issue with tables in the database from a bad install. The quickest solution is to remove Wordfence and table data and do a clean install of the plugin.
https://support.wordfence.com/support/solutions/articles/1000010321-how-can-i-remove-all-wordfence-data-or-reset-wordfence-to-the-default-settings-
Let us know if that helps. If not, we can troubleshoot further.
Thanks!
Brian
@ragnarok2014: I see that you entered a ticket separately on our site, so I will close this request, and we can continue troubleshooting there. Thanks!
-Matt R