This feature is compatible only with the Link Advanced. Moreover, it is accessible only if Somfy devices with IO/RTS technology have been paired (associated) with your Link Advanced.
To begin with, only non-smart home installations (TaHoma v2, Nina) can pair roller shutters through the Somfy Protect app. Only remotes that operate roller shutter motors locally can be paired with the Link Advanced.
The purpose of the Security Scenarios feature is to let you, the Somfy solutions user, define scenarios and match them to IO/RTS shutter equipment.