There are a couple reasons why you are seeing this message:
1) After setting up the domain, it could take up to 20 minutes so all changes are applied on the Firewall clusters. In this case, the Domain Not Configured message is temporary and will go away automatically;
2) You didn't upload a SSL into the Firewall or the Let's Encrypt SSL wasn't generated for your domain yet. HTTPS traffic will only works 1-2 hours after Sucuri Firewall is activated, because that's the time needed to generate a Let's Encrypt SSL at Sucuri Firewall.
You can either disable the HTTP -> HTTPS redirection until the Let's Encrypt SSL is ready or upload your custom SSL into the Firewall if your plan allows;
3) You may be using the wrong Firewall IP as "A" record. Every website on the Firewall will receive a different Firewall IP address. You must pay attention on which IP is correct for each domain. It'll be displayed on the Firewall dashboard on the "Firewall IP Address" line:
4) If the domain with the "Domain Not Configured" message is an Aliases, check if you are not trying to access it with HTTPS. Domain Aliases feature don't support SSL. If you need SSL on the Aliases domain, you must add it as a separate domain.
You can not use the Sucuri DNS servers on the Aliases domain as well.
5) Double check if you're not using the wrong AAAA record (IPv6), especially if your website has its Firewall cluster changed recently.