I was having this issue too, and being security minded, I wanted to turn it on. Preventing malicious code from getting at core processes on your computer seems like a good thing.
If you have that warning, click on it, and it will open up the Core Isolation and Memory Integrity settings. Click on the review link. It will have a list of sys drivers that are causing issues. In my case, I had a lot of old insecure drivers. Click on the down arrow, which will tell you what driver it is tied to. This information would have saved me a lot of effort! And now, if you are reading this saving you some time.
Keep the Memory Integrity window open and open the device manager. Go to view in the Device Manager and select Devices by Driver. Scroll down to each driver in the Device manager that matches the driver in the Memory Integrity window, and right-click and select remove driver.
Hit the back arrow in the Memory Integrity window, and it will take you to the overall settings again. Click on the scan/re-scan button, and if everything is good, you can turn on Memory Integrity!